Lower bounds for densities of Asian type stochastic differential equations

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. © 2009 Elsevier Inc. All rights reserved