Abstract
We show that Varadhan's small time asymptotics for densities of the solution of a stochastic differential equation in $\mathbb{R}^n$ 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.
Citation
Terence Jegaraj. "Small time asymptotics of Ornstein-Uhlenbeck densities in Hilbert spaces." Electron. Commun. Probab. 14 552 - 559, 2009. https://doi.org/10.1214/ECP.v14-1510
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