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.
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页码：57 / 76
页数：20
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