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Estimates for the probability that Itô processes remain near a path


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  • Bally, Vlad
  • Fernández, Begoña
  • Meda, Ana
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    Let W=(Wi)i[set membership, variant]N be an infinite dimensional Brownian motion and (Xt)t>=0 a continuous adaptedn-dimensional process. Set [tau]R=inf{t:Xt-xt>=Rt}, where xt,t>=0 is a Rn-valued deterministic differentiable curve and Rt>0,t>=0 a time-dependent radius. We assume that, up to [tau]R, the process X solves the following (not necessarily Markov) SDE:. Under local conditions on the coefficients, we obtain lower bounds for P([tau]R>=T) as well as estimates for distribution functions and expectations. These results are discussed in the elliptic and log-normal frameworks. An example of a diffusion process that satisfies the weak Hörmander condition is also given.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 121 (2011)
    Issue (Month): 9 (September)
    Pages: 2087-2113

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    Handle: RePEc:eee:spapps:v:121:y:2011:i:9:p:2087-2113

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    Related research

    Keywords: Ito processes Lower bounds for distributions Lower bounds for expectations;


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