On the Small Time Asymptotics of Diffusion Processes on Path Groups
β Scribed by Shigeki Aida; Tusheng Zhang
- Book ID
- 111545853
- Publisher
- Springer Netherlands
- Year
- 2002
- Tongue
- English
- Weight
- 101 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0926-2601
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π SIMILAR VOLUMES
Let M be a compact, connected, oriented Riemannian manifold. Hermite functions on M are defined in terms of the heat kernel, and the existence of an asymptotic expansion of these functions in powers of β t is established for small time. In the case where M is a compact symmetric space, the asymptoti
## Abstract If ΞΎ(t) is the solution of homogeneous SDE in R m, and T β is the first exit moment of the process from a small domain D β, then the total expansion for the following functional showing independence of the exit time and exit place is $$Eexp( - \lambda T\_\varepsilon )f(\frac{{\xi (T\_\v