A representation formula for transition probability densities of diffusions and applications
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Cites work
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- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 194234 (Why is no real title available?)
- A singular large deviations phenomenon
- Bounds for the fundamental solution of a parabolic equation
- Comparison theorem and estimates for transition probability densities of diffusion processes
- Conditional propagation of chaos and a class of quasilinear PDE's
- On conditional diffusion processes
- Sharp bounds for transition probability densities of a class of diffusions
Cited in
(25)- On local linear approximations to diffusion processes
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
- Explicit form of approximate transition probability density functions of diffusion processes
- A representation formula for transition probability densities of Hunt processes under Girsanov transform
- Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
- Bounds for the transition density of time-homogeneous diffusion processes
- Diffusion models and steady-state approximations for exponentially ergodic Markovian queues
- The normal approximation rate for the drift estimator of multidimensional diffusions
- Averaging dynamics driven by fractional Brownian motion
- Reconstructing the drift of a diffusion from partially observed transition probabilities
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- Integral equation for the transition density of the multidimensional Markov random flight
- Stochastic formulations of the parametrix method
- Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
- McKean-Vlasov type stochastic differential equations arising from the random vortex method
- Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
- An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
- Nonparametric trend coefficient estimation for multidimensional diffusions
- scientific article; zbMATH DE number 1054349 (Why is no real title available?)
- Convergence of Langevin-simulated annealing algorithms with multiplicative noise. II: Total variation
- A formula for transition density function under Girsanov transform
- Spectral representation of transition density of Fisher–Snedecor diffusion
- Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
- Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient
- Probability bounds for reflecting diffusion processes
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