Some Distributional Properties of Linear Stochastic Differential Equations

Xue Dong He; Zhaoli Jiang

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arXiv · 2007.04040

Some Distributional Properties of Linear Stochastic Differential Equations

Xue Dong He·Zhaoli Jiang

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Abstract

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.

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Xue Dong He, Zhaoli Jiang. 2020-07-08. Some Distributional Properties of Linear Stochastic Differential Equations. https://arxiv.org/abs/2007.04040

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