Absolute continuity for some one-dimensional processes

By Nicolas G. Fournier, Jacques Printems. 2008

94 citations recorded by the source corpus.

We introduce an elementary method for proving the absolute continuity of the time marginals of one-dimensional processes. It is based on a comparison between the Fourier transform of such time marginals with those of the one-step Euler approximation of the underlying process. We obtain some

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/aa63b4f84e5690c9ed67ced469eeeffb018f9e22

How researchers see this paper

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In Economics and Econometrics

1. Arturo Kohatsu-Higa
2. Vlad Bally

In Finance

1. A. Kulik
2. Viktorya Knopova
3. Arturo Kohatsu-Higa
4. Vlad Bally
5. Feng-Yu Wang

In Management Science and Operations Research

1. Viktorya Knopova
2. Arturo Kohatsu-Higa
3. Feng-Yu Wang

Citations in the corpus

• A probabilistic interpretation of the parametrix method. (2015, background): “Such is the case in the results of [2], [7], [8] and [11] which require some Hölder property of the coefficients in order to obtain the existence of the density.”
• Parametrix construction of the transition probability density of the solution to an SDE driven by $\alpha$-stable noise (2014, background): “This is the common assumption in all the references available for us in this direction, with the one important exception given by the recent paper [12], see also [19,20].”