Bounds for the transition density of time-homogeneous diffusion processes

Abstract

The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusion processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially improving previous results in the literature which were limited to drifts satisfying a linear growth condition. They lead to an asymptotic expression for the time t transition density as t → 0 . While the focus is on the one-dimensional case, an extension to multiple dimensions is discussed. Results are illustrated by numerical examples.