Geodesic
Some estimates of the probability density of a~stochastic integral
Izvestiya. Mathematics , Tome 8 (1974) no. 1, pp. 233-254

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Estimates in $L_p$ are derived for probability densities of stochastic integrals. An example is presented which shows that for some values of $p$ such estimates are not attainable. The method of proving these estimates is based on a study of Bellman's nonlinear equations and the properties of $\lambda$-convex functions. 
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     author = {N. V. Krylov},
     title = {Some estimates of the probability density of a~stochastic integral},
     journal = {Izvestiya. Mathematics },
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     language = {en},
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N. V. Krylov. Some estimates of the probability density of a~stochastic integral. Izvestiya. Mathematics , Tome 8 (1974) no. 1, pp. 233-254. http://geodesic.mathdoc.fr/item/IM2_1974_8_1_a11/