Small-time fluctuations for sub-Riemannian diffusion loops

DOI10.1007/S00440-017-0788-7MaRDI QIDQ1656534zbMATH OpenOpenAlexWikidataFDO

Authors Karen Habermann

Publication date 10 August 2018

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1606.00422, http://wrap.warwick.ac.uk/139576/1/WRAP-small-time-fluctuations-sub-Riemannian-diffusion-loops-Habermann-2018.pdf

zbMATH Keywords

sub-Riemannian structurediffusion processesMalliavin covariance matrixsmall-time fluctuations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Hypoelliptic equations (35H10) Sub-Riemannian geometry (53C17) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: We study the small-time fluctuations for diffusion processes which are conditioned by their initial and final positions, under the assumptions that the diffusivity has a sub-Riemannian structure and that the drift vector field lies in the span of the sub-Riemannian structure. In the case where the endpoints agree and the generator of the diffusion process is non-elliptic at that point, the deterministic Malliavin covariance matrix is always degenerate. We identify, after a suitable rescaling, another limiting Malliavin covariance matrix which is non-degenerate, and we show that, with the same scaling, the diffusion Malliavin covariance matrices are uniformly non-degenerate. We further show that the suitably rescaled fluctuations of the diffusion loop converge to a limiting diffusion loop, which is equal in law to the loop we obtain by taking the limiting process of the unconditioned rescaled diffusion processes and condition it to return to its starting point. The generator of the unconditioned limiting rescaled diffusion process can be described in terms of the original generator.

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Cites work

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Cited in

(5)

• Heat trace asymptotics on equiregular sub-Riemannian manifolds
• Small-time fluctuations for the bridge of a sub-Riemannian diffusion
• Hypoelliptic operators in geometry. Abstracts from the workshop held May 21--26, 2023
• Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type
• Cartan connections for stochastic developments on sub-Riemannian manifolds

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