Estimation de Varadhan pour des diffusions à deux paremètres. (Varadhan estimator for two-parameter diffusions) (Q1116183)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation de Varadhan pour des diffusions à deux paremètres. (Varadhan estimator for two-parameter diffusions) |
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Estimation de Varadhan pour des diffusions à deux paremètres. (Varadhan estimator for two-parameter diffusions) (English)
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1990
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Under generalized Hörmander conditions the law of a two-parameter diffusion has a smooth density out of the axes. In the elliptic case we obtain an estimate of this density when the parameter is small. In this way we extend the Varadhan estimate which is well-known for ordinary diffusions.
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stochastic calculus of variations
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generalized Hörmander conditions
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two-parameter diffusion
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smooth density
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Varadhan estimate
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