Title of article
A representation formula for transition probability densities of diffusions and applications
Author/Authors
Qian، نويسنده , , Zhongmin and Zheng، نويسنده , , Weian، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
20
From page
57
To page
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–Martinʹs 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
Journal title
Stochastic Processes and their Applications
Serial Year
2004
Journal title
Stochastic Processes and their Applications
Record number
1577381
Link To Document