Work

Sharp bounds for the expected occupation density of Itô processes with bounded irregular drift and diffusion coefficients

Year: 2025

Type: article

Abstract: We find explicit and optimal upper and lower bounds for the expected occupation density for an Itô process when its drift and diffusion coefficients are unknown under boundedness and ellipticity conditions on the coefficients. This is related to the optimal bound for the expected interval occupation found in [2]. In contrast, our bound is for a single point and the resulting formula is less involved. Our findings allow us to find explicit upper and lower bounds for mean path integrals.

Source: Electronic Journal of Probability

DOI: 10.1214/25-ejp1305

Authors: Paul Krühner, Shijie Xu

Institutions: Vienna University of Economics and Business, University of Liverpool

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W4408809512

FWCI: 0.971

Cites: 9

Cited by: 1

Related to: 10