Lower bounds for the density of locally elliptic Itô processes (Q874742)

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scientific article; zbMATH DE number 5141194
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    Lower bounds for the density of locally elliptic Itô processes
    scientific article; zbMATH DE number 5141194

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      Lower bounds for the density of locally elliptic Itô processes (English)
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      10 April 2007
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      The main interest of the author of this paper is to give an explicit lower bound for the density \(p_T(x_0,y)\) of the law of \(X_T\), solution of the SDE on \({\mathbb R}^q\) \[ dX_t=\sigma(X_t) dB_t + b(X_t)dt,\quad X_0=x_0. \] A subject which was intensively discussed during the 1980s. The novelty is that the author assumes only the ellipticity along a differentiable curve joining \(x_0\) and \(y\) (e.g., a tubular neighborhood), apart from the non-boundedness hypothesis on the diffusion coefficient. More precisely, let \(\lambda^*(x)\geq \sigma\sigma^*(x)\geq \lambda_*(x)\), consider the class \(\Phi(x_0,y)\) of functions \(\varphi\in L^2([0,T], {\mathbb R}^d)\) satisfying the following conditions \[ x_0^\varphi=x_0, x_T^\varphi=y,\quad {\lambda_*\over\lambda^*}(x_t^\varphi)\geq {1\over\mu},\;\lambda_*(x_t^\varphi)\geq 1/\chi, \] where \(\mu, \chi\) are given and \[ dx_t^\varphi=\sum_{j=1}^d \sigma_j(x_t^\varphi)\varphi_t^j\, dt,\quad x_0^\varphi=x_0, \] and define the control distance \[ d(x_0,y)=\inf\biggl\{\sqrt{\int_0^T | \varphi_t| ^2\,dt}; \varphi\in\Phi(x_0,y)\biggr\}. \] Then a Gaussian type lower bound for \(p_T(x_0,y)\) is obtained using \(d(x_0,y), \mu\) and \(\chi\). Finally, the author develops the conditional version of the Malliavin calculus on one hand and uses the methodology put forward on Wiener functionals by Kohatsu-Higa on other hand. As byproducts, the author obtains general results about the so-called elliptic Itô processes.
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      Gaussian lower bound
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      density
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      Malliavin calculus
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      control distance
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      local ellipticity
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