Logarithmic Estimates for the Density of Hypoelliptic Two-Parameter Diffusions |
| |
| Authors: | A. Kohatsu-Higa, D. M rquez-Carreras,M. Sanz-Sol |
| |
| Affiliation: | a Departament d'Economia, Universitat Pompeu Fabra, Ramon Trias Fargas 25–27, Barcelona, 08005, Spain;b Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, Barcelona, 08007, Spain |
| |
| Abstract: | We consider a hypoelliptic two-parameter diffusion. We first prove a sharp upper bound in small time (s, t)[0, 1]2 for the Lp-moments of the inverse of the Malliavin matrix of the diffusion process. Second, we establish the behaviour of22 log ps, t(x, y), as ↓0, where x is the initial condition of the diffusion, =, and ps, t(x, y) is the density of the hypoelliptic two-parameter diffusion. |
| |
| Keywords: | Malliavin calculus two-parameter Itô equations Malliavin covariance matrix logarithmic bound for the density |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
