Lower bounds for the density of locally elliptic Itô processes

DOI10.1214/009117906000000458MaRDI QIDQ874742zbMATH OpenOpenAlexFDO

Authors Vlad Bally

Publication date 10 April 2007

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

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

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)

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 $sigmasigm{a}^{\ast }(x_t)>0,$ 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.

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