A functional law of the iterated logarithm for weakly hypoelliptic diffusions at time zero

DOI10.1016/J.SPA.2022.03.012zbMATH Open1490.60201OpenAlexW3176075908MaRDI QIDQ2137755FDOQ2137755

Authors: Marco Carfagnini, J. Földes, David P. Herzog 

Publication date: 16 May 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study the almost sure behavior of solutions of stochastic differential equations (SDEs) as time goes to zero. Our main general result establishes a functional law of the iterated logarithm (LIL) that applies in the setting of SDEs with degenerate noise satisfying the weak Hormander condition but not the strong Hormander condition}. That is, SDEs in which the drift terms must be used in order to conclude hypoellipticity. As a corollary of this result, we obtain the almost sure behavior as time goes to zero of a given direction in the equation, even if noise is not present explicitly in that direction. The techniques used to prove the main results are based on large deviations applied to a non-trivial rescaling of the original system. In concrete examples, we show how to find the proper rescaling to obtain the functional LIL. Furthermore, we apply the main results to the problem of identifying regular points for hypoelliptic diffusions. Consequently, we obtain a control-theoretic criteria for a given point to be regular for the process.

Full work available at URL: https://arxiv.org/abs/2106.13288

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zbMATH Keywords

law of the iterated logarithmweakly hypoelliptic diffusionsstrong Hörmander condition

Mathematics Subject Classification ID

Strong limit theorems (60F15) Hypoelliptic equations (35H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (4)

• The law of the iterated logarithm for solutions of stochastic differential equations with random coefficients
• Logarithmic estimates for the density of hypoelliptic two-parameter diffusions
• An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion
• The method of stochastic characteristics for linear second-order hypoelliptic equations

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