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Lower bounds for densities of Asian type stochastic differential equations

Abstract : We obtain lower bounds for densities of solutions of certain hypoelliptic two-dimensional stochastic differential equations where one of the components is the Lebesgue integral of the other. These results are non-trivial extensions of previous work of the authors. In particular, these type Of equations are linked to the so-called Asian option set-up. (C) 2009 Elsevier Inc. All rights reserved.
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https://hal-upec-upem.archives-ouvertes.fr/hal-00693022
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Submitted on : Tuesday, May 1, 2012 - 7:34:00 PM
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Vlad Bally, Arturo Kohatsu-Higa. Lower bounds for densities of Asian type stochastic differential equations. Journal of Functional Analysis, Elsevier, 2010, 258 (9), pp.3134--3164. ⟨10.1016/j.jfa.2009.10.027⟩. ⟨hal-00693022⟩

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