A representation formula for transition probability densities of diffusions and applications
From MaRDI portal
Publication:2485752
DOI10.1016/J.SPA.2003.12.004zbMATH Open1070.60072OpenAlexW2008171472MaRDI QIDQ2485752FDOQ2485752
Authors: Zhongmin Qian, Weian Zheng 
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2003.12.004
Recommendations
- Explicit form of approximate transition probability density functions of diffusion processes
- Asymptotic properties of the norm of the extremum of a sequence of normal random functions
- Transition probabilities for some ‘special' diffusions
- scientific article; zbMATH DE number 2213959
- A representation formula for transition probability densities of Hunt processes under Girsanov transform
- On the transition densities for reflected diffusions
- Comparison theorem and estimates for transition probability densities of diffusion processes
- Representation formulas for Malliavin derivatives of diffusion processes
- Estimates of Densities of Stationary Distributions and Transition Probabilities of Diffusion Processes
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Bounds for the fundamental solution of a parabolic equation
- Conditional propagation of chaos and a class of quasilinear PDE's
- Sharp bounds for transition probability densities of a class of diffusions
- A singular large deviations phenomenon
- Comparison theorem and estimates for transition probability densities of diffusion processes
- On conditional diffusion processes
Cited In (24)
- Reconstructing the drift of a diffusion from partially observed transition probabilities
- Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
- Nonparametric trend coefficient estimation for multidimensional diffusions
- An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
- Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
- Convergence of Langevin-simulated annealing algorithms with multiplicative noise. II: Total variation
- Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
- Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient
- Stochastic formulations of the parametrix method
- Diffusion models and steady-state approximations for exponentially ergodic Markovian queues
- A formula for transition density function under Girsanov transform
- Explicit form of approximate transition probability density functions of diffusion processes
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
- Bounds for the transition density of time-homogeneous diffusion processes
- The normal approximation rate for the drift estimator of multidimensional diffusions
- Integral equation for the transition density of the multidimensional Markov random flight
- Spectral representation of transition density of Fisher–Snedecor diffusion
- On local linear approximations to diffusion processes
- Averaging dynamics driven by fractional Brownian motion
- Title not available (Why is that?)
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- Sup-norm adaptive drift estimation for multivariate nonreversible diffusions
- McKean-Vlasov type stochastic differential equations arising from the random vortex method
- Probability bounds for reflecting diffusion processes
This page was built for publication: A representation formula for transition probability densities of diffusions and applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485752)
