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Reports (Research Report) Year : 2003

Lower bounds for the density of the law of locally elliptic Itô processes

Vlad Bally
  • Function : Author

Abstract

We give lower and upper bounds for the density of the law of a locally elliptic Ito process. Locally elliptic means that the ellipticity assuption holds true only if the process lies in a tube around a deterministc given curve. This represents a generalization of the classical lower and upper bounds for the density of an uniformly elliptic diffusion process but works for diffusions which may be locally degenerated, as the log-normal type diffusion for example. In this case the lower bound is no more Gaussian but has a log normal shape. This also works for Stochastic PDE's.

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Other [cs.OH]
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Dates and versions

inria-00071695 , version 1 (23-05-2006)

Identifiers

  • HAL Id : inria-00071695 , version 1

Cite

Vlad Bally. Lower bounds for the density of the law of locally elliptic Itô processes. [Research Report] RR-4887, INRIA. 2003. ⟨inria-00071695⟩
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