Tube estimates for diffusions under a local strong Hörmander condition

DOI10.1214/18-AIHP950zbMATH Open1434.60133arXiv1607.04542MaRDI QIDQ2291972FDOQ2291972

Authors: Vlad Bally, Lucia Caramellino, Paolo Pigato 

Publication date: 31 January 2020

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We study lower and upper bounds for the density of a diffusion process in ${mathbbR}^n$ in a small (but not asymptotic) time, say $delta$. We assume that the diffusion coefficients $sigm{a}_1,ldots,sigm{a}_d$ may degenerate at the starting time $0$ and point $x_0$ but they satisfy a strong H"ormander condition involving the first order Lie brackets. The density estimates are written in terms of a norm which accounts for the non-isotropic structure of the problem: in a small time $delta$, the diffusion process propagates with speed $sqrtdelta$ in the direction of the diffusion vector fields $sigm{a}_j$ and with speed $delta=sqrtdeltaimessqrtdelta$ in the direction of $[sigm{a}_i,sigm{a}_j]$. In the second part of this paper, such estimates will be used in order to study lower and upper bounds for the probability that the diffusion process remains in a tube around a skeleton path up to a fixed time.

Full work available at URL: https://arxiv.org/abs/1607.04542

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zbMATH Keywords

Malliavin calculushypoellipticitytube estimatesshort-time density estimatesstrong Hörmander condition

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (6)

• Density estimates and short-time asymptotics for a hypoelliptic diffusion process
• Local densities for a class of degenerate diffusions
• Volatility and arbitrage
• Tube estimates for diffusion processes under a weak Hörmander condition
• Tube estimates for diffusions under a local strong Hörmander condition
• Estimates for the probability that Itô processes remain near a path

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