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2019 Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type
Karen Habermann
Electron. J. Probab. 24: 1-19 (2019). DOI: 10.1214/19-EJP274

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 Hörmander 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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Karen Habermann. "Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type." Electron. J. Probab. 24 1 - 19, 2019. https://doi.org/10.1214/19-EJP274

Information

Received: 15 August 2018; Accepted: 4 February 2019; Published: 2019
First available in Project Euclid: 18 February 2019

zbMATH: 1419.35009
MathSciNet: MR3916331
Digital Object Identifier: 10.1214/19-EJP274

Subjects:
Primary: 35H10, 60F05, 60J60

JOURNAL ARTICLE
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Vol.24 • 2019
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