Regularity properties of densities of SDEs using the Fourier analytic approach

Abstract: We show regularity properties of local densities of solutions of stochastic differential equations (SDEs) with the Fourier analytic approach. With this simple method, statements that were previously derived with approaches using Malliavin calculus or difference operators can be recovered and extended to include regularity properties with respect to the time variable. For example, we derive the H\"older continuity and joint continuity of local densities in the case of drift coefficients that are locally piecewise H\"older continuous. To this end, we derive fairly general bounds for the Fourier transform of the local density of a solution of the SDE when the drift is locally bounded and the diffusion is locally sufficiently regular.