On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic Integrand

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On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic Integrand

Claude Martini

To cite this version:

Claude Martini. On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic Integrand. [Research Report] RR-3696, INRIA. 1999. �inria-00072973�

ISSN 0249-6399

a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic

Integrand

Claude MARTINI

No 3696

May 11, 1999

TH `EME 4

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Unit´e de recherche INRIA Lorraine, Technop ˆole de Nancy-Brabois, Campus scientifique, 615 rue du Jardin Botanique, BP 101, 54600 VILLERS L `ES NANCY

Unit´e de recherche INRIA Rennes, Irisa, Campus universitaire de Beaulieu, 35042 RENNES Cedex Unit´e de recherche INRIA Rh ˆone-Alpes, 655, avenue de l’Europe, 38330 MONTBONNOT ST MARTIN Unit´e de recherche INRIA Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153 LE CHESNAY Cedex

Unit´e de recherche INRIA Sophia-Antipolis, 2004 route des Lucioles, BP 93, 06902 SOPHIA-ANTIPOLIS Cedex

Editeur´

INRIA, Domaine de Voluceau, Rocquencourt, BP 105, 78153 LE CHESNAY Cedex (France)

ISSN 0249-6399