Xue Dong He, Zhaoli Jiang
Published 2020-07-08Version 1
In this paper, we prove a sufficient and necessary condition for the transition probability distribution of a general, time-inhomogeneous linear SDE to possess a density function and study the differentiability of the density function and the transition quantile function of the SDE. Moreover, we completely characterize the support of the marginal distribution of this SDE.
The distribution function of the distance between two random points in a right-angled triangle
Dynamic construction of martingales of density functions
Linear stochastic differential equations with functional boundary conditions
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