A representation formula for transition probability densities of diffusions and applications

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:111

Article

Qian, ZM ; Zheng, W

关键词: heat kernel estimates;    diffusion;   

DOI  :  10.1016/j.spa.2003.12.004

来源: Elsevier

【 摘 要 】

We establish a representation formula for the transition probability density of a diffusion perturbed by a vector field, which takes a form of Cameron-Martin's 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. (C) 2003 Elsevier B.V. All rights reserved.

【 授权许可】

Free