INTEGRATION BY PARTS ON WIENER SPACE AND THE EXISTENCE OF OCCUPATION DENSITIES

• 成果类型: Article
• 署名作者: IMKELLER, P; NUALART, D
• 署名单位: University of Barcelona
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176988869
• 发表日期: 1994
• 页码: 469-493
• 关键词: stochastic calculus

摘要

We present a general criterion for the existence of an occupation density, which is based on the integration by parts formula on Wiener space. This criterion is applied to two particular examples of anticipating processes. First we discuss the case of Brownian motion plus a nonadapted . absolutely continuous drift, and second we consider the case of a Skorohod integral process. Finally a version of Tanaka's formula is proved for the Skorohod integral process.