Lower bounds for densities of Asian type stochastic differential equations
From MaRDI portal
Publication:971801
DOI10.1016/j.jfa.2009.10.027zbMath1196.60105OpenAlexW2080970984MaRDI QIDQ971801
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (12)
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients ⋮ Tube estimates for diffusion processes under a weak Hörmander condition ⋮ Existence of a fundamental solution of partial differential equations associated to Asian options ⋮ The method of stochastic characteristics for linear second-order hypoelliptic equations ⋮ Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension ⋮ Long time behaviour and stationary regime of memory gradient diffusions ⋮ Estimates for the probability that Itô processes remain near a path ⋮ Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options ⋮ Density estimates for a random noise propagating through a chain of differential equations ⋮ Two-sided bounds for degenerate processes with densities supported in subsets of \(\mathbb R^N\) ⋮ Tube estimates for diffusions under a local strong Hörmander condition ⋮ Density estimates and short-time asymptotics for a hypoelliptic diffusion process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Exponential decay of the heat kernel over the diagonal. II
- Lower bounds for the density of locally elliptic Itô processes
- Gaussian estimates for hypoelliptic operators via optimal control
- Density estimates for a random noise propagating through a chain of differential equations
- Density minoration of a strongly non-degenerated random variable
- Fundamental solutions and geometry of the sum of squares of vector fields
- Fundamental solutions for second order subelliptic operators
- A global lower bound for the fundamental solution of Kolmogorov-Fokker-Planck equations
- Lower bounds for densities of uniformly elliptic random variables on Wiener space
- Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators
- On some exponential functionals of Brownian motion
This page was built for publication: Lower bounds for densities of Asian type stochastic differential equations
