A representation formula for transition probability densities of diffusions and applications

作者：Qian ZM; Zheng W^*

来源：Stochastic Processes and Their Applications, 2004, 111(1): 57-76.

DOI：10.1016/j.spa.2003.12.004

• heat kernel estimates
• diffusion

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.

• 出版日期2004-5
• 单位华东师范大学