Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type (Q2631836)

The diffusion process whose generator is an operator of the form $L=\sum_{i=1}^{d}(Ax)_{x_{i}}\frac{\partial }{\partial x_{i}}+\sum_{i,j=1}^{d}(BB^{*})_{ij}\frac{\partial^{2}}{\partial x_{i} \partial x_{j}} $ is studied. Here $A$ and $B$ are $d\times d$ and $d\times m$ ($m\geq d$) constant matrices such that the operator $L$ satisfies the weak Hörmander condition and thus hypoelliptic. Fix $x\in {\mathbb R}^{d}$ and let $\varepsilon>0$.There exists a diffusion process $x_{t}^{\varepsilon}$ ($t\in [0;1]$) starting from x and having the generator $\varepsilon L$. For $y\in {\mathbb R}^{d}$, let $z^{\varepsilon}_{t}$ be the process $x_{t}^{\varepsilon}$ such that $x_{1}^{\varepsilon} = y$. The main results of the article are the description of the diffusion bridges $z^{\varepsilon}_{t}$ in the limit as $\varepsilon \to 0$. The leading order behaviour of the diffusion bridge $z^{\varepsilon}_{t}$ as $\varepsilon \to 0$ is described. The case of the iterated Kolmogorov diffusion is considered as an example.