Small-time asymptotics for hypoelliptic diffusions
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866910747441758208 |
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| author | Földes, Juraj Herzog, David P. |
| author_facet | Földes, Juraj Herzog, David P. |
| contents | An inductive procedure is developed to calculate the asymptotic behavior at time zero of a diffusion with polynomial drift and degenerate, additive noise. The procedure gives rise to two different rescalings of the process; namely, a functional law of the iterated logarithm rescaling and a distributional rescaling. The limiting behavior of these rescalings is studied, resulting in two related control problems which are solved in nontrivial examples using methods from geometric control theory. The control information from these problems gives rise to a practical criteria for points to be regular on the boundary of a domain in $\mathbf{R}^n$ for such diffusions. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2412_11323 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Small-time asymptotics for hypoelliptic diffusions Földes, Juraj Herzog, David P. Probability Analysis of PDEs 60H10, 35H10, 60F17, 60J50 An inductive procedure is developed to calculate the asymptotic behavior at time zero of a diffusion with polynomial drift and degenerate, additive noise. The procedure gives rise to two different rescalings of the process; namely, a functional law of the iterated logarithm rescaling and a distributional rescaling. The limiting behavior of these rescalings is studied, resulting in two related control problems which are solved in nontrivial examples using methods from geometric control theory. The control information from these problems gives rise to a practical criteria for points to be regular on the boundary of a domain in $\mathbf{R}^n$ for such diffusions. |
| title | Small-time asymptotics for hypoelliptic diffusions |
| topic | Probability Analysis of PDEs 60H10, 35H10, 60F17, 60J50 |
| url | https://arxiv.org/abs/2412.11323 |