Bounds for the transition density of time-homogeneous diffusion processes
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Abstract: The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially improving previous results in the literature which were limited to drifts satisfying a linear growth condition. They lead to an asymptotic expression for the transition density as the transition time approaches zero. While the focus is on the one-dimensional case, an extension to multiple dimensions is discussed. Results are illustrated by numerical examples.
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Cited in
(7)- On uniform positivity of transition densities of small noise constrained diffusions
- The analytical properties for homogeneous random transition functions
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Upper bounds on Arnold diffusion time via Mather theory
- Transition probability density of a certain diffusion process concentrated on a finite spatial interval
- Time homogeneous diffusions with a given marginal at a deterministic time
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