On hypoelliptic bridge

DOI10.1214/16-ECP4646zbMATH Open1345.60089arXiv1510.06730OpenAlexW2963424632WikidataQ125856999 ScholiaQ125856999MaRDI QIDQ287809FDOQ287809

Authors: Xue-Mei Li 

Publication date: 23 May 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We prove that if the Markov generator of a diffusion process satisfies the two step strong H"ormander condition, the conditioned hypoelliptic bridge satisfies an integral bound and is a continuous semi-martingale.

Full work available at URL: https://arxiv.org/abs/1510.06730

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zbMATH Keywords

compact manifoldMarkov generatoradjoint processhypoelliptic bridgeshypoelliptic kernelsemi-martingalestrong Hörmander condition

Mathematics Subject Classification ID

Diffusion processes (60J60) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes and stochastic analysis on manifolds (58J65) Invariance and symmetry properties for PDEs on manifolds (58J70) Transition functions, generators and resolvents (60J35)

Cited In (2)

• Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type
• On the semimartingale property of Brownian bridges on complete manifolds

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