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math.PR2017★ 5 cited
Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations
Bilel Kacem Ben Ammou, Alberto Lanconelli
We consider a class of stochastic differential equations driven by a one dimensional Brownian motion and we investigate the rate of convergence for Wong-Zakai-type approximated sol…
math.PR2017
Standardizing densities on Gaussian spaces
Alberto Lanconelli
In the present note we investigate the problem of standardizing random variables taking values on infinite dimensional Gaussian spaces. In particular, we focus on the transformatio…
math.AP2017
Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients
Alberto Lanconelli, Andrea Pascucci, Sergio Polidoro
We prove Gaussian upper and lower bounds for the fundamental solutions of a class of degenerate parabolic equations satisfying a weak Hormander condition. The bound is independent…