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Small time asymptotics of Ornstein-Uhlenbeck densities in Hilbert spaces


 
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1. Title Title of document Small time asymptotics of Ornstein-Uhlenbeck densities in Hilbert spaces
 
2. Creator Author's name, affiliation, country Terence Jegaraj; University of New South Wales
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) small time asymptotics, densities, Ornstein-Uhlenbeck, Hilbert space
 
3. Subject Subject classification 60F99; 60H15
 
4. Description Abstract We show that Varadhan's small time asymptotics for densities of the solution of a stochastic differential equation in $\mathbb{R}^n$ carries over to a Hilbert space-valued Ornstein-Uhlenbeck process whose transition semigroup is strongly Feller and symmetric. In the Hilbert space setting, densities are with respect to a Gaussian invariant measure.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2009-12-09
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1510
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1510
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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