Small-time expansion for the density of a planar (quadratic) Langevin diffusion.

Authors :: Franchi, Jacques
Source :: Stochastics: An International Journal of Probability & Stochastic Processes. Jun2023, Vol. 95 Issue 4, p696-748. 53p.
Publication Year :: 2023
Abstract: The unscaled small-time asymptotics of the density is approached by means of the Brownian bridge, regarding planar analogues of the Langevin diffusion, which are strictly hypoelliptic. While the non-quadratic case remains open, in the quadratic case a new precision is derived. [ABSTRACT FROM AUTHOR]

Language :: English
ISSN :: 17442508
Volume :: 95
Issue :: 4
Database :: Academic Search Index
Journal :: Stochastics: An International Journal of Probability & Stochastic Processes
Publication Type :: Academic Journal
Accession number :: 163409564
Full Text :: https://doi.org/10.1080/17442508.2022.2113789

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