• Media type: E-Article
  • Title: A lower bound for the transition density function of a stochastic differential equation
  • Contributor: Boyarsky, A.
  • imprint: Wiley, 1976
  • Published in: Canadian Journal of Statistics
  • Language: English
  • DOI: 10.2307/3315270
  • ISSN: 0319-5724; 1708-945X
  • Keywords: Statistics, Probability and Uncertainty ; Statistics and Probability
  • Origination:
  • Footnote:
  • Description: <jats:title>Abstract</jats:title><jats:p>Let <jats:italic>W</jats:italic><jats:sub><jats:italic>t</jats:italic></jats:sub> be a one‐dimensional Brownian motion on the probability space (Ω,<jats:italic>F,P</jats:italic>), and let <jats:italic>dx</jats:italic><jats:sub><jats:italic>t</jats:italic></jats:sub> = <jats:italic>a</jats:italic>(x<jats:sub><jats:italic>t</jats:italic></jats:sub>)<jats:italic>dt</jats:italic> + b(x<jats:sub><jats:italic>t</jats:italic></jats:sub>)dw<jats:sub>t</jats:sub>, <jats:italic>b<jats:sup>2</jats:sup>(x) &gt; 0</jats:italic>, be a one‐dimensional Ito stochastic differential equation. For <jats:italic>a(x)</jats:italic> = <jats:italic>a</jats:italic><jats:sub>0</jats:sub> + <jats:italic>a</jats:italic><jats:sub>1</jats:sub>x + … + <jats:italic>a</jats:italic><jats:sub>n</jats:sub>x<jats:sup><jats:italic>n</jats:italic></jats:sup> on a bounded interval we obtain a lower bound for <jats:italic>p(t,x,y)</jats:italic>, the transition density function of the homogeneous Markov process <jats:italic>x</jats:italic><jats:sub><jats:italic>t</jats:italic></jats:sub>, depending directly on the coefficients <jats:italic>a</jats:italic><jats:sub>0</jats:sub>,<jats:italic>a</jats:italic><jats:sub>1</jats:sub>, …, <jats:italic>a</jats:italic><jats:sub><jats:italic>n</jats:italic></jats:sub>, and <jats:italic>b(x).</jats:italic></jats:p>