Gaussian estimates for the solutions of some one-dimensional stochastic equations

• المؤلفون الرئيسيون: Nguyen, Tien Dung, Privault, Nicolas, Torrisi, Giovanni Luca
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2015
• الموضوعات: DRNTU::Science::Mathematics::Discrete mathematics
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/79258; http://hdl.handle.net/10220/25437
• المؤسسة: Nanyang Technological University

Using covariance identities based on the Clark-Ocone representation formula we derive Gaussian density bounds and tail estimates for the probability law of the solutions of several types of stochastic differential equations, including Stratonovich equations with boundary condition and irregular drif...