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 Electronic Communications in Probability > Vol. 14 (2009) > Paper 53 open journal systems 


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.


Full text: PDF

Pages: 552-559

Published on: December 9, 2009
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Electronic Communications in Probability. ISSN: 1083-589X