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Integration by Parts on Wiener Space and the Existence of Occupation Densities
Imkeller, Peter Nualart, David
Imkeller, Peter
Nualart, David
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Abstract
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.
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This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176988869.
Date
1994-03-02
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Institute of Mathematical Statistics (IMS)
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NualartD_AP_22(1)469.pdf
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Keywords
perturbed Wiener process, anticipating processes, Skorohod integral process, Tanaka's formula
Citation
Imkeller, Peter; Nualart, David. Integration by Parts on Wiener Space and the Existence of Occupation Densities. Ann. Probab. 22 (1994), no. 1, 469--493. http://dx.doi.org/10.1214/aop/1176988869.