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Bounded density for diffusions with diffusion coefficients bounded away from $0$
Consider a diffusion given by
$$X_t=\int_0^t a(s,X_s)\,dW_s$$
for $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and $a$ is a smooth enough positive function bounded away from $...
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Hitting probability for mean-reverting stochastic process
I quote Delbaen and Shirakawa (2002).
Starting from a stochastic differential equation of the form:
$$dr_t=\alpha\left(r_{\mu}-r_t\right)dt+\beta\sqrt{\left(r_t-r_m\right)\left(r_M-r_t\right)}dW_t\...
