- Abstract:
- Let pb(x, t, y) be the transition probability density of the one dimensional diffusion process dXt = dWt + b(Xt) dt, where b(.) ∞ ≤ 1. We show that the upper and lower bounds of pb(x, t, y) are achieved for fixed (x, t, y) when b(z) = sgn(y - z) and b(z) = sgn(z -y) respectively. Moreover, the precise bounds are given. © 2002 Académie des sciences/Éditions scientifiques et médicales Elsevier SAS.
- Publisher copy:
- 10.1016/S1631-073X(02)02579-7
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- Journal:
- Comptes Rendus Mathematique
- Volume:
- 335
- Issue:
- 11
- Pages:
- 953-957
- Publication date:
- 2002-12-01
- DOI:
- ISSN:
-
1631-073X
- URN:
-
uuid:7eca4032-0e1c-49a9-9269-e0835e4eb710
- Source identifiers:
-
147549
- Local pid:
- pubs:147549
- Language:
- French
- Copyright date:
- 2002
Journal article
Sharp bounds for transition probability densities of a class of diffusions
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