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

Chiara Cinti; Stephane Menozzi; Sergio Polidoro

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arXiv · 1203.4918

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

Chiara Cinti·Stephane Menozzi·Sergio Polidoro

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Abstract

We obtain two-sided bounds for the density of stochastic processes satisfying a weak Hörmander 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 Hörmander'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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Chiara Cinti, Stephane Menozzi, Sergio Polidoro. 2012-12-13. Two-sided bounds for degenerate processes with densities supported in subsets of R^N. https://arxiv.org/abs/1203.4918

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