Lower bounds for densities of Asian type stochastic differential equations
DOI10.1016/J.JFA.2009.10.027zbMATH Open1196.60105OpenAlexW2080970984MaRDI QIDQ971801FDOQ971801
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
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Cites Work
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- Exponential decay of the heat kernel over the diagonal. II
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- Lower bounds for the density of locally elliptic Itô processes
- A global lower bound for the fundamental solution of Kolmogorov-Fokker-Planck equations
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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
- Steady states of an Elo-type rating model for players of varying strength
- Density estimates and short-time asymptotics for a hypoelliptic diffusion process
- 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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