 |
HAL UPEC - UPEM Portal |  |
 |
Journal articles
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.
https://hal-upec-upem.archives-ouvertes.fr/hal-00693022
Contributor : Admin Lama Connect in order to contact the contributor
Submitted on : Tuesday, May 1, 2012 - 7:34:00 PM
Last modification on : Tuesday, October 19, 2021 - 4:07:07 PM
Contributor : Admin Lama Connect in order to contact the contributor
Submitted on : Tuesday, May 1, 2012 - 7:34:00 PM
Last modification on : Tuesday, October 19, 2021 - 4:07:07 PM
Links full text
