Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\) (Q2512907): Difference between revisions
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scientific article
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| English | Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\) |
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Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\) (English)
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2 February 2015
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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.
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Harnack inequality
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Malliavin calculus
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Hormander condition
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two-sided bounds
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