A representation formula for transition probability densities of diffusions and applications

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.

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Year of publication:	2004
Authors:	Qian, Zhongmin ; Zheng, Weian
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 111.2004, 1, p. 57-76
Publisher:	Elsevier
Subject:	Heat kernel estimates Diffusion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875765