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

• Main Authors: Nguyen, Tien Dung, Privault, Nicolas, Torrisi, Giovanni Luca
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2015
• Subjects: DRNTU::Science::Mathematics::Discrete mathematics
• Online Access: https://hdl.handle.net/10356/79258; http://hdl.handle.net/10220/25437
• Institution: 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...