We obtain two-sided bounds for the density of stochastic processes satisfying a weak H"ormander condition. In particular we consider the cases when the support of the density is not the whole space and when the density has various asymptotic regimes depending on the starting/final points considered (which are as well related to the number of brackets needed to span the space in H"ormander's theorem). The proofs of our lower bounds are based on Harnack inequalities for positive solutions of PDEs whereas the upper bounds are derived from the probabilistic representation of the density given by the Malliavin calculus.

Two-sided bounds for degenerate processes with densities supported in subsets of R^N / Chiara, Cinti; Stephane, Menozzi; Polidoro, Sergio. - In: POTENTIAL ANALYSIS. - ISSN 0926-2601. - STAMPA. - 42,1:(2015), pp. 39-98. [10.1007/s11118-014-9424-7]

Two-sided bounds for degenerate processes with densities supported in subsets of R^N

POLIDORO, Sergio
2015

Abstract

We obtain two-sided bounds for the density of stochastic processes satisfying a weak H"ormander condition. In particular we consider the cases when the support of the density is not the whole space and when the density has various asymptotic regimes depending on the starting/final points considered (which are as well related to the number of brackets needed to span the space in H"ormander's theorem). The proofs of our lower bounds are based on Harnack inequalities for positive solutions of PDEs whereas the upper bounds are derived from the probabilistic representation of the density given by the Malliavin calculus.
2015
18-lug-2014
42,1
39
98
Two-sided bounds for degenerate processes with densities supported in subsets of R^N / Chiara, Cinti; Stephane, Menozzi; Polidoro, Sergio. - In: POTENTIAL ANALYSIS. - ISSN 0926-2601. - STAMPA. - 42,1:(2015), pp. 39-98. [10.1007/s11118-014-9424-7]
Chiara, Cinti; Stephane, Menozzi; Polidoro, Sergio
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1023720
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