Gaussian lower bounds for the density via Malliavin calculus

DOI10.5802/CRMATH.13MaRDI QIDQ784334zbMATH OpenOpenAlexFDO

Authors Tien Dung Nguyen

Publication date 3 August 2020

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.5802/crmath.13

zbMATH Keywords

fractional Brownian motionlower boundsMalliavin calculusprobability densities

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

Review text

Representations as expectation and lower bounds are derived for the probability density of a Wiener functional \(F\) using a classical integration by parts formula in the Malliavin calculus. In comparison with other approaches, those bounds only require a one-sided inequality on the term \(\langle DF,-DL^{-1}F\rangle_{L^2(\mathbb{R}_+)}\), where \(DF\) and \(L\), respectively, denote the Malliavin gradient of the functional \(F\) and the Ornstein-Uhlenbeck operator. Applications are given to additive functionals of Gaussian processes and to stochastic differential equations with fractional Brownian noise.

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Cites work

• Density formula and concentration inequalities with Malliavin calculus
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• scientific article; zbMATH DE number 4030651 (Why is no real title available?)
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Cited in

(8)

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• Density formula and concentration inequalities with Malliavin calculus
• Lower bounds for Wiener integrals
• Lower bounds for densities of uniformly elliptic random variables on Wiener space
• Density estimates for the exponential functionals of fractional Brownian motion
• On the density of some Wiener functionals: An application of Malliavin calculus
• Tail probability estimates for additive functionals
• Exact Lower and Upper Bounds for Gaussian Measures

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