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Local Holder continuity property of the Densities of Solutions of SDEs with Singular Coefficients
Malliavin Calculus non-smooth drift density function Probability
2012/6/21
We prove that the weak solution of a uniformly elliptic stochastic differential equation with locally smooth diffusion coefficient and H\"{o}lder continuous drift has a H\"{o}lder continuous density f...
Martingale problems on Banach spaces -- Existence, uniqueness and the Markov property
Martingale solution strong Markov property stochastic partial differential equation
2010/12/6
We study (local) martingale problems on a general separable Banach space E and apply our results to stochastic evolution equations. In particular,we prove that if such an equation is well-posed, then ...
A New Factorization Property of the Selfdecomposable Probability Measures
Selfdecomposable s-selfdecomposable background driving L´ evy process class U class L factorization property
2010/12/8
We prove that the convolution of a selfdecomposable dis-tribution with its background driving law is again selfdecomposable if and only if the background driving law is s-selfdecomposable.