Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals (Q1364330)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals
scientific article

    Statements

    Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals (English)
    0 references
    0 references
    1 June 1998
    0 references
    Let \(X\) be a one-dimensional diffusion process on an interval \((a,b)\) which is determined by its speed measure \(dm(x)\) and Feller's boundary condition. Then there exists a heat kernel \(p_t(x,y)\) with respect to \(dm\), and due to a so-called short time asymptotic result of Varadhan it holds \[ -2t\log p_t(x,y)\to d(x,y)=\left|\int x^y\sqrt{\textstyle{{1\over 2}} dm/dx(u)}du\right|^2 \] as \(t\) tends to zero where \(d\) denotes the intrinsic metric. A deeply connected Schilder type large deviation result holds for the distribution law \(P^\varepsilon_x\) of the process \(X^x(\varepsilon t)\) starting from \(x\) which satisfies a large deviation principle with a rate function \[ I_x(\varphi)= \begin{cases} {1\over 4} \int^T_0 dm/dx(\varphi(t))|\varphi'(t)|^2dt &\text{if }\varphi\text{ is absolutely continuous},\\ \infty &\text{otherwise}.\end{cases} \] Similar results on some affine nested fractals are derived. To this end the fractals and their Dirichlet forms are considered in detail, \(d(x,y)\) is replaced by the shortest path metric, sharp estimates of hitting times are proved and hitting times are related to distances.
    0 references
    0 references
    0 references
    0 references
    0 references
    large deviations
    0 references
    short time asymptotics
    0 references
    Brownian motion
    0 references
    fractals
    0 references
    Dirichlet forms
    0 references
    shortest path metric
    0 references
    0 references