Bounds for the transition density of time-homogeneous diffusion processes

DOI10.1016/j.spl.2008.11.002zbMath1163.60037arXiv0807.4586OpenAlexW1990916259MaRDI QIDQ1009726

Andrew N. Downes

Publication date: 3 April 2009

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

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

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (1)

Maximum likelihood estimation of diffusions by continuous time Markov chain

Cites Work

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• First passage densities and boundary crossing probabilities for diffusion processes
• Numerical solution of SDE through computer experiments. Including floppy disk
• Comparison theorem and estimates for transition probability densities of diffusion processes
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
• A representation formula for transition probability densities of diffusions and applications
• Some remarks on the Rayleigh process
• Smooth Transition Densities for One-Dimensional Diffusions
• Foundations of Modern Probability

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