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Two-sided bounds for degenerate processes with densities supported in subsets of R^N

Abstract : We obtain two-sided bounds for the density of stochastic processes satisfying a weak H¨ormander condition. In particular we consider the cases when the support of the density is not the whole space and when the density has various asymptotic regimes depending on the starting/final points considered (which are as well related to the number of brackets needed to span the space in H¨ormander's theorem). The proofs of our lower bounds are based on Harnack inequalities for positive solutions of PDEs whereas the upper bounds derive from the probabilistic representation of the density given by the Malliavin calculus.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-00681604
Contributor : Stephane Menozzi <>
Submitted on : Wednesday, March 21, 2012 - 9:07:20 PM
Last modification on : Friday, October 30, 2020 - 12:04:03 PM
Long-term archiving on: : Friday, June 22, 2012 - 2:31:48 AM

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  • HAL Id : hal-00681604, version 1
  • ARXIV : 1203.4918

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Chiara Cinti, Stephane Menozzi, Sergio Polidoro. Two-sided bounds for degenerate processes with densities supported in subsets of R^N. 2012. ⟨hal-00681604v1⟩

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