Kohatsu-Higa, Arturo; Makhlouf, Azmi - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1716-1728
We obtain upper and lower bounds for the density of a functional of a diffusion whose drift is bounded and measurable. The argument consists of using Girsanov’s theorem together with an Itô–Taylor expansion of the change of measure. One then applies Malliavin calculus techniques in a...