A representation formula for transition probability densities of diffusions and applications

被引：18

作者：

Qian, ZM

Zheng, W

机构：

[1] Univ Toulouse 3, F-31062 Toulouse, France

[2] CNRS, F-75700 Paris, France

[3] E China Normal Univ, Shanghai 200062, Peoples R China

[4] Univ Calif Irvine, Dept Math, Irvine, CA 92697 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2004年 / 111卷 / 01期

关键词：

heat kernel estimates; diffusion;

D O I：

10.1016/j.spa.2003.12.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We establish a representation formula for the transition probability density of a diffusion perturbed by a vector field, which takes a form of Cameron-Martin's formula for pinned diffusions. As an application, by carefully estimating the mixed moments of a Gaussian process, we deduce explicit, strong lower and upper estimates for the transition probability function of Brownian motion with drift of linear growth. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：57 / 76

页数：20

共 8 条

[1]

[Anonymous], 1989, CAMBRIDGE TRACTS MAT

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