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

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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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.

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