Small-time expansion for the density of a planar (quadratic) Langevin diffusion

DOI10.1080/17442508.2022.2113789zbMath1520.60046OpenAlexW4296641847MaRDI QIDQ6115730

Jacques Franchi

Publication date: 13 July 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2022.2113789

zbMATH Keywords

Brownian motionoscillatory integralsaddle-point methodCarnot-Carathéodory distancesmall time asymptoticsstrictly hypoelliptic diffusion

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Degenerate parabolic equations (35K65) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

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