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

Paul Krühner; Shijie Xu

doi:10.1214/25-EJP1305

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

Paul Krühner
, Shijie Xu

Institute for Statistics and Mathematics

Publication: Scientific journal › Journal article › peer-review

Original language	English
Journal	Electronic Journal of Probability
Volume	30
DOIs	https://doi.org/10.1214/25-EJP1305
Publication status	Published - 2025

Keywords

expected occupation density
parameter uncertainty

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10.1214/25-EJP1305Licence: CC BY

Cite this

@article{e4a43b1d6c9f4fc197f315c75fe54ef1,

title = "Sharp bounds for the expected occupation density of It{\^o} processes with bounded irregular drift and diffusion coefficients: Occupation bounds",

keywords = "expected occupation density, parameter uncertainty",

author = "Paul Kr{\"u}hner and Shijie Xu",

year = "2025",

doi = "10.1214/25-EJP1305",

language = "English",

volume = "30",

journal = "Electronic Journal of Probability",

issn = "1083-6489",

publisher = "Institute of Mathematical Statistics",

}

TY - JOUR

T1 - Sharp bounds for the expected occupation density of Itô processes with bounded irregular drift and diffusion coefficients

T2 - Occupation bounds

AU - Krühner, Paul

AU - Xu, Shijie

PY - 2025

Y1 - 2025

KW - expected occupation density

KW - parameter uncertainty

U2 - 10.1214/25-EJP1305

DO - 10.1214/25-EJP1305

M3 - Journal article

SN - 1083-6489

VL - 30

JO - Electronic Journal of Probability

JF - Electronic Journal of Probability

ER -