Estimates for the probability that Itô processes remain near a path

DOI10.1016/J.SPA.2011.05.004zbMATH Open1223.60035OpenAlexW2032108593MaRDI QIDQ554463FDOQ554463

Authors: Vlad Bally, Ana Meda, Begoña Fernández Fernández 

Publication date: 4 August 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.05.004

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• Lower bounds for the density of locally elliptic Itô processes
• Estimation of densities and applications
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zbMATH Keywords

lower bounds for distributionslower bounds for expectationsItô processes

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Density estimates for a random noise propagating through a chain of differential equations
• Bounds for the fundamental solution of a parabolic equation
• Lower bounds for densities of uniformly elliptic random variables on Wiener space
• Lower bounds for the density of locally elliptic Itô processes
• A global lower bound for the fundamental solution of Kolmogorov-Fokker-Planck equations
• Title not available (Why is that?)
• Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators
• Fundamental solutions and geometry of the sum of squares of vector fields
• Estimation of densities and applications
• Title not available (Why is that?)
• Fundamental solutions for second order subelliptic operators
• Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
• Title not available (Why is that?)
• Estimates for the density of a nonlinear Landau process
• Gaussian estimates for hypoelliptic operators via optimal control
• Lower bounds for densities of Asian type stochastic differential equations

Cited In (3)

• Tube estimates for diffusion processes under a weak Hörmander condition
• Tube estimates for diffusions under a local strong Hörmander condition
• Estimation of the Brownian dimension of a continuous Itô process

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