A representation formula for transition probability densities of diffusions and applications

Zhongmin Qian and Weian Zheng

Stochastic Processes and their Applications, 2004, vol. 111, issue 1, 57-76

Abstract: 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.

Keywords: Heat; kernel; estimates; Diffusion (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(03)00182-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:111:y:2004:i:1:p:57-76

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().