University of Khartoum

Densities of Distributions of Solutions to Delay Stochastic Differential Equations with Discontinuous Initial Data (Part I)

Densities of Distributions of Solutions to Delay Stochastic Differential Equations with Discontinuous Initial Data (Part I)

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Title: Densities of Distributions of Solutions to Delay Stochastic Differential Equations with Discontinuous Initial Data (Part I)
Author: Ahmed, Tagelsir A.; Van Casteren, Jan A.
Abstract: We have established an integration by parts formula involving Malliavinderevatives of solutions to the delay (functional) SDE’s, See equation (1.1). The integration by parts formula which we have established is in fact an extension of the integration by parts formula to include delay SDE’s as well as ordinary SDE’s. The integration by parts formula which we have established can be used to extend the formulas in work by Bally and Talay to include delay SDE’s as well as ordinary SDE’s.
URI: http://khartoumspace.uofk.edu/123456789/24755


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