Small time asymptotics of Ornstein-Uhlenbeck densities in Hilbert spaces
Terence Jegaraj, University of New South Wales
Abstract
We show that Varadhan's small time asymptotics for densities of the solution of a stochastic differential equation in Rn 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.
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