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SMOOTH TABOO DENSITY FOR ONE-DIMENSIONAL DIFFUSIONS

Published online by Cambridge University Press:  13 February 2001

S. F. V. LO  and
G. O. ROBERTS
S. F. V. LO
Affiliation:
Tokyo-Mitsubishi International, 6 Broadgate, London EC2M 2AA; [email protected]
G. O. ROBERTS
Affiliation:
Department of Mathematics and Statistics, Lancaster University, Lancaster LA1 4YF; [email protected]
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Abstract

The paper is concerned with finding sufficient smoothness conditions on the diffusion and drift coefficient of a one-dimensional stochastic diffusion to imply the existence and smoothness of a taboo density.

Type
Research Article
Information
Journal of the London Mathematical Society , Volume 62 , Issue 3 , December 2000 , pp. 951 - 960
Copyright
The London Mathematical Society 2000

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