Diffusions under a local strong Hörmander condition. Part II: tube estimates - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Diffusions under a local strong Hörmander condition. Part II: tube estimates

Abstract

We study lower and upper bounds for the probability that a diffusion process in R^n remains in a tube around a skeleton path up to a fixed time. We assume that the diffusion coefficients σ_1 ,. .. , σ_d may degenerate but they satisfy a strong Hörmander condition involving the first order Lie brackets around the skeleton of interest. The tube is written in terms of a norm which accounts for the non-isotropic structure of the problem: in a small time δ, the diffusion process propagates with speed √ δ in the direction of the diffusion vector fields σ_j and with speed δ = √ δ × √ δ in the direction of [σ_i , σ_j ]. The proof consists in a concatenation technique which strongly uses the lower and upper bounds for the density proved in the part I.
Fichier principal
Vignette du fichier
1607.04544v2.pdf (306.24 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01407420 , version 1 (02-12-2016)

Identifiers

Cite

Vlad Bally, Lucia Caramellino, Paolo Pigato. Diffusions under a local strong Hörmander condition. Part II: tube estimates. 2016. ⟨hal-01407420⟩
218 View
119 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More