Logarithmic estimates for the density of an anticipating stochastic differential equation

Authors
Sanz-Sole, M Sarra, M
Citation
M. Sanz-sole et M. Sarra, Logarithmic estimates for the density of an anticipating stochastic differential equation, STOCH PR AP, 79(2), 1999, pp. 301-321
Citations number
9
Categorie Soggetti
Mathematics
Journal title
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN journal
03044149 → ACNP
Volume
79
Issue
2
Year of publication
1999
Pages
301 - 321
Database
ISI
SICI code
0304-4149(19990201)79:2<301:LEFTDO>2.0.ZU;2-L
Abstract
In this paper we study Varadhan's estimates for the density of a family of solutions of anticipating stochastic differential equations driven by a whi te noise which is perturbed by a small parameter epsilon. The anticipating input is given by the initial condition and the stochastic integral term is of Stratonovich type. (C) 1999 Elsevier Science B.V. All rights reserved.