Lower bounds for densities of Asian type stochastic differential equations

DOI10.1016/J.JFA.2009.10.027MaRDI QIDQ971801zbMATH OpenOpenAlexFDO

Authors Vlad Bally, Arturo Kohatsu-Higa

Publication date 17 May 2010

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfa.2009.10.027

zbMATH Keywords

Malliavin calculuslower boundsdensity functionAsian type SDE's

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

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• scientific article; zbMATH DE number 503478 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• A global lower bound for the fundamental solution of Kolmogorov-Fokker-Planck equations
• Density estimates for a random noise propagating through a chain of differential equations
• Density minoration of a strongly non-degenerated random variable
• Exponential decay of the heat kernel over the diagonal. II
• 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 uniformly elliptic random variables on Wiener space
• Lower bounds for the density of locally elliptic Itô processes
• On some exponential functionals of Brownian motion

Cited in

(13)

• Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\)
• The method of stochastic characteristics for linear second-order hypoelliptic equations
• Density estimates for a random noise propagating through a chain of differential equations
• Density estimates and short-time asymptotics for a hypoelliptic diffusion process
• Steady states of an Elo-type rating model for players of varying strength
• Tube estimates for diffusion processes under a weak Hörmander condition
• Tube estimates for diffusions under a local strong Hörmander condition
• Estimates for the probability that Itô processes remain near a path
• Long time behaviour and stationary regime of memory gradient diffusions
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
• Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
• Existence of a fundamental solution of partial differential equations associated to Asian options

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