Abstract for the talk on 05.11.2020 (15:00 h)

Arbeitsgemeinschaft ANGEWANDTE ANALYSIS

Karen Habermann (University of Warwick)
Small-time fluctuations for conditioned hypoelliptic diffusion processes

We study the small-time asymptotics for hypoelliptic diffusion processes conditioned by their initial and final positions. After giving an overview of work by Bailleul, Mesnager and Norris on the small-time fluctuations for sub-Riemannian diffusion bridges, which assumes the initial and final positions to lie outside the sub-Riemannian cut locus, we extend their results to the diagonal and describe the asymptotics of sub-Riemannian diffusion loops. We show that, in a suitable chart and after a suitable rescaling, the small-time diffusion loop measures have a non-degenerate limit, which we identify explicitly in terms of a certain local limit operator. We further consider small-time fluctuations for the bridge in a model class of diffusion processes 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.


07.11.2020, 02:31