Lower bounds for the density of locally elliptic Itô processes

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

2007-02-28

arxiv.org/abs/math/0702879v1

Annals of Probability 2006, Vol. 34, No. 6, 2406-2440

Mathematics

Probability

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

Scientific paper

10.1214/009117906000000458

We give lower bounds for the density $p_T(x,y)$ of the law of $X_t$, the solution of $dX_t=\sigma (X_t) dB_t+b(X_t) dt,X_0=x,$ under the following local ellipticity hypothesis: there exists a deterministic differentiable curve $x_t, 0\leq t\leq T$, such that $x_0=x, x_T=y$ and $\sigma \sigma ^*(x_t)>0,$ for all $t\in \lbrack 0,T].$ 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.

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