Explicit parametrix and local limit theorems for some degenerate diffusion processes

Details Explicit parametrix and local limit theorems for some degenerate diffusion processes Explicit parametrix and local limit theorems for some degenerate diffusion processes

2008-02-15

arxiv.org/abs/0802.2229v2

Mathematics

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33 pages

Scientific paper

For a class of degenerate diffusion processes of rank 2, i.e. when only Poisson brackets of order one are needed to span the whole space, we obtain a parametrix representation of the density from which we derive some explicit Gaussian controls that characterize the additional singularity induced by the degeneracy. We then give a local limit theorem with the usual convergence rate for an associated Markov chain approximation. The key point is that the "weak" degeneracy allows to exploit the techniques first introduced by Konakov and Molchanov and then developed by Konakov and Mammen that rely on Gaussian approximations.

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