In this paper we study the transition density $P_t(x, y)$ of a nondegenerate diffusion process by using the stochastic control method invented by Fleming and the idea of stochastic parallel translation. We obtain a two-sided estimate for $P_t(x, y)$ as well as some bounds for the derivatives of $\log P_t(x, y)$.
Publié le : 1991-04-14
Classification:
Diffusion process,
transition density,
control method,
stochastic parallel translation,
60H10,
60J35,
60J60
@article{1176990440,
author = {Sheu, Shuenn-Jyi},
title = {Some Estimates of the Transition Density of a Nondegenerate Diffusion Markov Process},
journal = {Ann. Probab.},
volume = {19},
number = {4},
year = {1991},
pages = { 538-561},
language = {en},
url = {http://dml.mathdoc.fr/item/1176990440}
}
Sheu, Shuenn-Jyi. Some Estimates of the Transition Density of a Nondegenerate Diffusion Markov Process. Ann. Probab., Tome 19 (1991) no. 4, pp. 538-561. http://gdmltest.u-ga.fr/item/1176990440/