Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\) (Q2512907): Difference between revisions

The authors obtain upper and lower bounds for the density of an \((n+1)\)-dimensional random vector of the form \[ \left( x_{1, n} + W_t, x_{n+1}+\int_0^t|x_{1,n}+W_s|^kds\right ), \] where \(W\) is a standard Wiener process in \(\mathbb{R}^{n}\), \((x_{1,n}, x_{n+1}) \in \mathbb R^{n+1}\), and \(k\) is an even positive integer. The proofs are based on Harnack inequalities and Malliavin calculus.