Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals (Q1364330)
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English | Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals |
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Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals (English)
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1 June 1998
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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.
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large deviations
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short time asymptotics
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Brownian motion
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fractals
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Dirichlet forms
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shortest path metric
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