Lévy's stochastic area and the principle of stationary phase (Q1976334): Difference between revisions

Consider the two-dimensional classical pinned Wiener space \((W_0,H_0,\mu_0)\) over \([0,1]\), and set for \(w\in W_0\): \(V(w):= \int^1_0\left|w_t- \int^1_0 w_s ds\right|^2 dt\), and \(S(w):= \int^1_0 (w^1_t dw^2_t- w^2_t dw^1_t)=\) the Lévy's stochastic area. \(\{V= 0\}\) is the set of stationary points of \(S\). Now take some holomorphic Wiener functional on \((W_0,H_0,\mu_0)\), having its prolongation to \(W_0\oplus \sqrt{-1} H_0\) continuous at \(0\) and not too rapidly increasing. Then for \(f: \mathbb{R}\to\mathbb{R}\) which is \(\equiv 1\) or rapidly decreasing and \(\equiv 1\) near \(0\), as \(\lambda\to \infty\), \({\text{sh }\lambda\over \lambda}\times \int_{W_0} \exp(\sqrt{-1} \lambda S)\times \Psi\times f(v) d\mu_0\) goes to \(\Psi(0)\). The proof uses explicit computations on the Fourier transform of \((S,V)\), and previous results of \textit{P. Malliavin} and the author [ibid. 143, No. 2, 470-528 (1997; Zbl 0873.60040)]. This result shows, in this particular case, that the classical localization principle of stationary phase for oscillatory integrals can still work in infinite dimensions.