Local densities for a class of degenerate diffusions

DOI10.1214/19-AIHP1009zbMath1434.60214arXiv1803.09998OpenAlexW3010676861MaRDI QIDQ2179637

Alberto Lanconelli, Stefano Pagliarani, Andrea Pascucci

Publication date: 13 May 2020

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.09998

zbMATH Keywords

Kolmogorov equationslocal densitiesintrinsic geometryHörmander conditionstrong Feller propertyintrinsic Hölder spaces

Mathematics Subject Classification ID

Diffusion processes (60J60) Transition functions, generators and resolvents (60J35) Subelliptic equations (35H20)

Related Items

Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients ⋮ Model and numerical methods for pricing renewable energy certificate derivatives ⋮ PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model ⋮ Density estimates and short-time asymptotics for a hypoelliptic diffusion process

Cites Work

• Analytical approximation of the transition density in a local volatility model
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
• Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form
• PDE and martingale methods in option pricing.
• Density estimates for a random noise propagating through a chain of differential equations
• The Dirichlet problem for a class of ultraparabolic equations
• Tube estimates for diffusion processes under a weak Hörmander condition
• Stochastic calculus. An introduction through theory and exercises
• Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
• Tube estimates for diffusions under a local strong Hörmander condition
• Multidimensional diffusion processes.
• STRONG FELLER CONTINUITY OF FELLER PROCESSES AND SEMIGROUPS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item