Explicit local density bounds for It\^o-processes with irregular drift

Abstract

We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one dimension we extend our result to the case that the diffusion coefficient is a locally Lipschitz-continuous function of the state. Our approach is based on a comparison to a suitable doubly reflected Brownian motion whose density is known in a series representation.