Bounds for the Transition Density of Time-Homogeneous Diffusion Processes

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dc.creatorDownes, Andrew N.
dc.date2008-07-29
dc.date.accessioned2026-07-07T12:09:41Z
dc.date.available2026-07-07T12:09:41Z
dc.descriptionThe paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially improving previous results in the literature which were limited to drifts satisfying a linear growth condition. They lead to an asymptotic expression for the transition density as the transition time approaches zero. While the focus is on the one-dimensional case, an extension to multiple dimensions is discussed. Results are illustrated by numerical examples.
dc.description14 pages, 5 figures
dc.identifierhttps://arxiv.org/abs/0807.4586
dc.identifierhttp://arxiv.org/abs/0807.4586
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209708
dc.subjectProbability
dc.subject60J60; 60J35
dc.titleBounds for the Transition Density of Time-Homogeneous Diffusion Processes
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