English

Lower bounds for the density of locally elliptic It\^{o} processes

Probability 2007-05-23 v1

Abstract

We give lower bounds for the density pT(x,y)p_T(x,y) of the law of XtX_t, the solution of dXt=σ(Xt)dBt+b(Xt)dt,X0=x,dX_t=\sigma (X_t) dB_t+b(X_t) dt,X_0=x, under the following local ellipticity hypothesis: there exists a deterministic differentiable curve xt,0tTx_t, 0\leq t\leq T, such that x0=x,xT=yx_0=x, x_T=y and σσ(xt)>0,\sigma \sigma ^*(x_t)>0, for all t[0,T].t\in \lbrack 0,T]. The lower bound is expressed in terms of a distance related to the skeleton of the diffusion process. This distance appears when we optimize over all the curves which verify the above ellipticity assumption. The arguments which lead to the above result work in a general context which includes a large class of Wiener functionals, for example, It\^{o} processes. Our starting point is work of Kohatsu-Higa which presents a general framework including stochastic PDE's.

Keywords

Cite

@article{arxiv.math/0702879,
  title  = {Lower bounds for the density of locally elliptic It\^{o} processes},
  author = {Vlad Bally},
  journal= {arXiv preprint arXiv:math/0702879},
  year   = {2007}
}

Comments

Published at http://dx.doi.org/10.1214/009117906000000458 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)