Estimates for the probability that Itô processes remain near a path

DOI10.1016/J.SPA.2011.05.004MaRDI QIDQ554463zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4030651 (Why is no real title available?)
• scientific article; zbMATH DE number 1121854 (Why is no real title available?)
• scientific article; zbMATH DE number 3326822 (Why is no real title available?)
• A global lower bound for the fundamental solution of Kolmogorov-Fokker-Planck equations
• Bounds for the fundamental solution of a parabolic equation
• Density estimates for a random noise propagating through a chain of differential equations
• Estimates for the density of a nonlinear Landau process
• Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
• Estimation of densities and applications
• Fundamental solutions and geometry of the sum of squares of vector fields
• Fundamental solutions for second order subelliptic operators
• Gaussian estimates for hypoelliptic operators via optimal control
• Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators
• Lower bounds for densities of Asian type stochastic differential equations
• Lower bounds for densities of uniformly elliptic random variables on Wiener space
• Lower bounds for the density of locally elliptic Itô processes

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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