Lower bounds for densities of Asian type stochastic differential equations

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Abstract

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.

Keywords

Lower bounds
Density function
Asian type sde's
Malliavin calculus

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Supported by grants of the Japanese government.