SOME ESTIMATES OF THE TRANSITION DENSITY OF A NONDEGENERATE DIFFUSION MARKOV PROCESS

• 成果类型: Article
• 署名作者: SHEU, SJ
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176990440
• 发表日期: 1991
• 页码: 538-561
• 关键词: fundamental-solutions

摘要

In this paper we study the transition density P(t)(x, y) of a nondegenerate diffusion process by using the stochastic control method invented by Fleming and the idea of stochastic parallel translation. We obtain a two-sided estimate for P(t)(x, y) as well as some bounds for the derivatives of log P(t)(x, y).