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Article Dans Une Revue Journal of Functional Analysis Année : 2010

Lower bounds for densities of Asian type stochastic differential equations

Résumé

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.

Dates et versions

hal-00693022 , version 1 (01-05-2012)

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Vlad Bally, Arturo Kohatsu-Higa. Lower bounds for densities of Asian type stochastic differential equations. Journal of Functional Analysis, 2010, 258 (9), pp.3134--3164. ⟨10.1016/j.jfa.2009.10.027⟩. ⟨hal-00693022⟩
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