Lower bounds for the density of locally elliptic Itô processes

DOI10.1214/009117906000000458zbMATH Open1123.60037arXivmath/0702879OpenAlexW3105407706MaRDI QIDQ874742FDOQ874742

Authors: Vlad Bally 

Publication date: 10 April 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We give lower bounds for the density $p_T(x,y)$ of the law of $X_t$, the solution of $d{X}_t=sigma(X_t)d{B}_t+b(X_t)dt,X_0=x,$ under the following local ellipticity hypothesis: there exists a deterministic differentiable curve $x_t,0leqtleqT$, such that $x_0=x,x_T=y$ and $sigmasigm{a}^{*}(x_t)>0,$ for all $tinlbrack0,T].$ The lower bound is expressed in terms of a distance related to the skeleton of the diffusion process. This distance appears when we optimize over all the curves which verify the above ellipticity assumption. The arguments which lead to the above result work in a general context which includes a large class of Wiener functionals, for example, It^{o} processes. Our starting point is work of Kohatsu-Higa which presents a general framework including stochastic PDE's.

Full work available at URL: https://arxiv.org/abs/math/0702879

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zbMATH Keywords

densityMalliavin calculuscontrol distanceGaussian lower boundlocal ellipticity

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35)

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Cited In (16)

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• Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
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• Note on local mixing techniques for stochastic differential equations
• Lower bounds for densities of Asian type stochastic differential equations
• Density minoration of a strongly non-degenerated random variable
• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• On conditional diffusion processes
• Exact simulation for multivariate Itô diffusions
• Estimates for the probability that Itô processes remain near a path
• An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure
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• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
• Asymptotics of the density of parabolic Anderson random fields
• Invariant measures for multidimensional fractional stochastic volatility models

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