Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4592061 | Journal of Functional Analysis | 2010 | 31 Pages |
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.
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