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A functional law of the iterated logarithm for weakly hypoelliptic diffusions at time zero

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  • Carfagnini, Marco
  • Földes, Juraj
  • Herzog, David P.

Abstract

We study the almost sure behavior of solutions of stochastic differential equations (SDEs) as time goes to zero. Our main general result establishes a functional law of the iterated logarithm (LIL) that applies in the setting of SDEs with degenerate noise satisfying the weak Hörmander condition but not the strong Hörmander condition. That is, SDEs in which the drift terms must be used in order to conclude hypoellipticity. As a corollary of this result, we obtain the almost sure behavior as time goes to zero of a given direction in the equation, even if noise is not present explicitly in that direction. The techniques used to prove the main results are based on large deviations applied to a non-trivial rescaling of the original system. In concrete examples, we show how to find the proper rescaling to obtain the functional LIL. Furthermore, we apply the main results to the problem of identifying regular points for hypoelliptic diffusions. Consequently, we obtain a control-theoretic criteria for a given point to be regular for the process.

Suggested Citation

  • Carfagnini, Marco & Földes, Juraj & Herzog, David P., 2022. "A functional law of the iterated logarithm for weakly hypoelliptic diffusions at time zero," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 188-223.
    • Handle: RePEc:eee:spapps:v:149:y:2022:i:c:p:188-223
    DOI: 10.1016/j.spa.2022.03.012
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    References listed on IDEAS

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    1. Birrell, Jeremiah & Herzog, David P. & Wehr, Jan, 2012. "The transition from ergodic to explosive behavior in a family of stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1519-1539.
    2. Caramellino, Lucia, 1998. "Strassen's law of the iterated logarithm for diffusion processes for small time," Stochastic Processes and their Applications, Elsevier, vol. 74(1), pages 1-19, May.
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