Abstract

Using the stochastic calculus of variation, we prove an nth order integration by parts formula where we only need a product of divergences and not a composite. Then we apply this formula to obtain regularity results of the Gevrey type for the density and the join density of some additive functionals of Brownian motion

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call