Tube estimates for diffusion processes under a weak Hörmander condition

DOI10.1214/16-AIHP805MaRDI QIDQ1635973zbMATH OpenFDO

Authors Paolo Pigato

Publication date 1 June 2018

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

Full work available at URL https://arxiv.org/abs/1412.4917

zbMATH Keywords

density estimateshypoellipticityHörmander conditionMalliavin calculustube estimates

Mathematics Subject Classification ID

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

Abstract: We consider a diffusion process under a local weak H"{o}rmander condition on the coefficients. We find Gaussian estimates for the density in short time and exponential lower and upper bounds for the probability that the diffusion remains in a small tube around a deterministic trajectory (skeleton path), explicitly depending on the radius of the tube and on the energy of the skeleton path. We use a norm which reflects the non-isotropic structure of the problem, meaning that the diffusion propagates in $mathbb{R}^2$ with different speeds in the directions $sigma$ and $[sigma,b]$. We establish a connection between this norm and the standard control distance.

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