Bounds for the transition density of time-homogeneous diffusion processes

DOI10.1016/J.SPL.2008.11.002zbMATH Open1163.60037arXiv0807.4586OpenAlexW1990916259MaRDI QIDQ1009726FDOQ1009726

Andrew N. Downes

Publication date: 3 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0807.4586

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cited In (6)

• Upper bounds on Arnold diffusion time via Mather theory
• The analytical properties for homogeneous random transition functions
• Transition probability density of a certain diffusion process concentrated on a finite spatial interval
• On uniform positivity of transition densities of small noise constrained diffusions
• Time homogeneous diffusions with a given marginal at a deterministic time
• Maximum likelihood estimation of diffusions by continuous time Markov chain

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