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

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...

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Main Authors: Nguyen, Tien Dung, Privault, Nicolas, Torrisi, Giovanni Luca
其他作者: School of Physical and Mathematical Sciences
格式: Article
語言:English
出版: 2015
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在線閱讀:https://hdl.handle.net/10356/79258
http://hdl.handle.net/10220/25437
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機構: Nanyang Technological University
語言: English