Christian Olivera, Ciprian A. Tudor
Abstract
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Via a special transform and by using the techniques of the Malliavin calculus, we analyze the density of the solution to a stochastic differential equation with unbounded drift.
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Via a special transform and by using the techniques of the Malliavin calculus, we analyze the density of the solution to a stochastic differential equation with unbounded drift.
Key concepts: Malliavin calculus, Stochastic differential equation, Mathematics, Differential equation, Applied mathematics, Mathematical analysis, Stochastic partial differential equation, Calculus (dental)