Estimates for the density of functionals of SDEs with irregular drift
The authors consider a two-component multidimensional stochastic differential equation whose second component \(Y_t\) depends on the first component \(X_t\) which is drifted by a bounded and measurable function \(b(X_t)\). They obtain a non-trivial integration by parts formula for functions of \((X_t,Y_t)\) and, by a Girsanov shift, they derive upper and lower bounds for the density of \(Y_t\), when \((X_t,Y_t)\) is driven by possibly correlated Brownian motions.
scientific article; zbMATH DE number 6156576