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.
Publié le : 1994-01-14
Classification:
Perturbed Wiener process,
anticipating processes,
Skorohod integral process,
Tanaka's formula,
60H05
@article{1176988869,
author = {Imkeller, Peter and Nualart, David},
title = {Integration by Parts on Wiener Space and the Existence of Occupation Densities},
journal = {Ann. Probab.},
volume = {22},
number = {4},
year = {1994},
pages = { 469-493},
language = {en},
url = {http://dml.mathdoc.fr/item/1176988869}
}
Imkeller, Peter; Nualart, David. Integration by Parts on Wiener Space and the Existence of Occupation Densities. Ann. Probab., Tome 22 (1994) no. 4, pp. 469-493. http://gdmltest.u-ga.fr/item/1176988869/