Positivity and lower bounds for the density of Wiener functionals

DOI10.1007/S11118-012-9324-7MaRDI QIDQ2391857zbMATH OpenOpenAlexFDO

Authors Vlad Bally, Lucia Caramellino

Publication date 5 August 2013

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.5269

zbMATH Keywords

lower bounds for the densityMalliavin calculusRiesz transformstrict positivity

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We consider a functional on the Wiener space which is smooth and not degenerated in Malliavin sense and we give a criterion of strict positivity of the density. We also give lower bounds for the density. These results are based on the representation of the density by means of the Riesz transform introduced by Malliavin and Thalmaier and on the estimates of the Riesz transform given Bally and Caramellino.

Review text

Consider a variable defined on the Wiener space, which is smooth and non-degenerated in the sense of Malliavin's calculus. The aim of this work is to prove, under some assumptions, the strict positivity of the density of this variable, and to obtain lower bounds for this density. As a preliminary result, the authors estimate the difference between the densities of two variables; this estimation is then used to study variables which are perturbations of a Gaussian variable. Two types of examples are considered: a process \(X_t\) which is a projection of a diffusion \((X_t,Y_t)\), and a diffusion process which only satisfies the weak Hörmander condition.

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Cited in

(22)

• Density minoration of a strongly non-degenerated random variable
• Lower bounds for Wiener integrals
• Criteria of positivity for the density of the law of a Wiener functional
• Properties of the set of positivity for the density of a regular Wiener functional
• Lower bounds for densities of uniformly elliptic random variables on Wiener space
• Tube estimates for diffusion processes under a weak Hörmander condition
• Convergence in distribution norms in the CLT for non identical distributed random variables
• Some remarks about the positivity of random variables on a Gaussian probability space
• Estimates of the difference between two probability densities of Wiener functionals and its application
• Invariant measures for multidimensional fractional stochastic volatility models
• Tube estimates for diffusions under a local strong Hörmander condition
• Estimating multidimensional density functions for random variables in Wiener space
• Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\)
• On the existence of density of the law of a Wiener functional
• Localization of Wiener functionals of fractional regularity and applications
• Dimension-independent estimates on the densities of Wiener functionals via the log-Sobolev inequality
• scientific article; zbMATH DE number 883596 (Why is no real title available?)
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• The density of imaginary multiplicative chaos is positive
• Density analysis of non-Markovian BSDEs and applications to biology and finance
• Uniform minorization condition and convergence bounds for discretizations of kinetic Langevin dynamics
• Gaussian lower bounds for the density via Malliavin calculus

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