Gaussian lower bounds for the density via Malliavin calculus (Q784334)

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Gaussian lower bounds for the density via Malliavin calculus
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    Gaussian lower bounds for the density via Malliavin calculus (English)
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    3 August 2020
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    Representations as expectation and lower bounds are derived for the probability density of a Wiener functional \(F\) using a classical integration by parts formula in the Malliavin calculus. In comparison with other approaches, those bounds only require a one-sided inequality on the term \(\langle DF,-DL^{-1}F\rangle_{L^2(\mathbb{R}_+)}\), where \(DF\) and \(L\), respectively, denote the Malliavin gradient of the functional \(F\) and the Ornstein-Uhlenbeck operator. Applications are given to additive functionals of Gaussian processes and to stochastic differential equations with fractional Brownian noise.
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    Malliavin calculus
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    lower bounds
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    probability densities
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    fractional Brownian motion
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