Gaussian estimates for the solutions of some one-dimensional stochastic equations

DOI10.1007/S11118-015-9472-7zbMATH Open1321.60127OpenAlexW2037904233MaRDI QIDQ494710FDOQ494710

Authors: Tien Dung Nguyen, Nicolas Privault, Giovanni Luca Torrisi 

Publication date: 2 September 2015

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10356/79258

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zbMATH Keywords

Malliavin calculusfractional Brownian motionstochastic differential equationsprobability boundsClark-Ocone formula

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• The Malliavin Calculus and Related Topics
• Stein's method on Wiener chaos
• Integration with respect to fractal functions and stochastic calculus. I
• Density formula and concentration inequalities with Malliavin calculus
• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
• Optimal Gaussian density estimates for a class of stochastic equations with additive noise
• Stochastic analysis in discrete and continuous settings. With normal martingales.
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• Density estimates for solutions to one dimensional backward SDE's
• The research program of stochastic deformation (with a view toward geometric mechanics)
• A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
• Probability approximation by Clark-Ocone covariance representation
• Concentration and deviation inequalities in infinite dimensions via covariance representations
• Estimates for the density of functionals of SDEs with irregular drift
• Equations différentielles stochastiques dans avec conditions aux bords

Cited In (18)

• An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• Density estimates and central limit theorem for the functional of fractional SDEs
• Distribution of the integral of maximum processes and applications
• Density estimates for solutions of stochastic functional differential equations
• Optimal Gaussian density estimates for a class of stochastic equations with additive noise
• Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression
• Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
• Gaussian density estimates for the solution of singular stochastic Riccati equations.
• Tail probability estimates for additive functionals
• Fisher information bounds and applications to SDEs with small noise
• Existence and Besov regularity of the density for a class of SDEs with Volterra noise
• Gaussian density estimates for solutions of fully coupled forward-backward SDEs
• The density of solutions to multifractional stochastic Volterra integro-differential equations
• Density estimates for solutions to one dimensional backward SDE's
• Gaussian lower bounds for the density via Malliavin calculus
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• Tail estimates for exponential functionals and applications to SDEs

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