Density minoration of a strongly non-degenerated random variable (Q1028327)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Density minoration of a strongly non-degenerated random variable
scientific article

    Statements

    Density minoration of a strongly non-degenerated random variable (English)
    0 references
    0 references
    0 references
    30 June 2009
    0 references
    Consider a \(\mathbb{R}^d\)-valued random variable \(F\) defined on the Wiener space; denote by \(D\) the Malliavin derivative and by \(\delta\) the divergence operator on this space. It is well known that if \(F\) is smooth (in the sense of Malliavin's calculus) and if its Malliavin matrix satisfies some non degeneracy condition, then its law has a density. The aim of this article is to find a lower bound for this density. The main tool is the notion of system of covering vector fields of \(F\); this is a variable \((A_1,\ldots,A_d)\) such that \(D_{A_i}(\phi\circ F)=(\partial_i\phi)\circ F\) for any \(i\) and any smooth \(\phi\). A variable of this type can be found by means of the Malliavin matrix of \(F\), but there are other possible choices. The authors prove that if \(\exp(c\sum_i|\delta(A_i)|^\gamma)\) is integrable for some \(\gamma>1\) and \(c>0\), then the density is bounded below by some \(c_\gamma\,\exp(-c_\gamma\|x\|^{\gamma/(\gamma-1)})\). The proof is based on a radial averaging combined with some Riesz transform estimates.
    0 references
    0 references
    Malliavin calculus
    0 references
    lower bounds for densities
    0 references
    divergence
    0 references
    Riesz transforms
    0 references

    Identifiers