On the perturbation problem for occupation densities
Let X be a semimartingale, perturbed by a process V of bounded variation, but with completely arbitrary measurability properties. We prove that if V is twice continuously differentiable such that its second derivative is Hölder continuous of order , then the perturbed process X + V possesses occupation densities which are continuous under usual circumstances.
Year of publication: |
1994
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Authors: | Imkeller, Peter |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 49.1994, 1, p. 41-55
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Publisher: |
Elsevier |
Subject: | occupation densities semimartingales non-adapted perturbation |
Saved in:
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