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

DOI10.1214/19-EJP274MaRDI QIDQ2631836zbMATH OpenOpenAlexFDO

Authors Karen Habermann

Publication date 16 May 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.04350, https://projecteuclid.org/euclid.ejp/1550480425

zbMATH Keywords

hypoelliptic diffusionssmall-time asymptoticsiterated Kolmogorov diffusion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Hypoelliptic equations (35H10)

Abstract: We study the small-time asymptotics for hypoelliptic diffusion processes conditioned by their initial and final positions, in a model class of diffusions satisfying a weak H"ormander condition where the diffusivity is constant and the drift is linear. We show that, while the diffusion bridge can exhibit a blow-up behaviour in the small time limit, we can still make sense of suitably rescaled fluctuations which converge weakly. We explicitly describe the limit fluctuation process in terms of quantities associated to the unconditioned diffusion. In the discussion of examples, we also find an expression for the bridge from 0 to 0 in time 1 of an iterated Kolmogorov diffusion.

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Cited in

(8)

• Small-time fluctuations for sub-Riemannian diffusion loops
• A semicircle law and decorrelation phenomena for iterated Kolmogorov loops
• On hypoelliptic bridge
• Small-time fluctuations for the bridge of a sub-Riemannian diffusion
• Tube estimates for diffusion processes under a weak Hörmander condition
• An explicit formula for the inverse of a factorial Hankel matrix
• Hypoelliptic operators in geometry. Abstracts from the workshop held May 21--26, 2023
• Gradient bounds for Kolmogorov type diffusions

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