On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand

Authors
Martini, C
Citation
C. Martini, On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand, ANN IHP-PR, 36(1), 2000, pp. 35-43
Citations number
3
Categorie Soggetti
Mathematics
Journal title
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
ISSN journal
02460203 → ACNP
Volume
36
Issue
1
Year of publication
2000
Pages
35 - 43
Database
ISI
SICI code
0246-0203(200001/02)36:1<35:OTMLOO>2.0.ZU;2-R
Abstract
We show that the law of integral(0)(1) sigma(u)dB(u), where B is a standard Brownian motion, sigma a progressive process such tha t 0 < sigma < sigma(u) < <(sigma)over bar> < infinity du dP-a.s. for two real numbers (sigma, <(sigma)over bar>), and t > 0, doesn't weight points. (C) 2000 Editions scientifiques et medicales Elsevier SAS.