Joint distributions for stochastic functional differential equations

Atsushi Takeuchi

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arXiv · 1601.01093

Joint distributions for stochastic functional differential equations

Atsushi Takeuchi

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Abstract

Consider stochastic functional differential equations, whose coefficients depend on past histories. The solution determines a non-Markov process. In the present paper, we shall obtain the existence of smooth densities for joint distributions of solutions, under the uniformly elliptic condition on the diffusion coefficients, via the Malliavin calculus. As an application, we shall study the computations of the Greeks on options associated with the asset price dynamics models with delayed effects.

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Atsushi Takeuchi. 2016-01-06. Joint distributions for stochastic functional differential equations. https://arxiv.org/abs/1601.01093

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