Diffusions under a local strong H\"ormander condition. Part I: density estimates

Abstract

We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the starting time $0$ and point $x_0$ but they satisfy a strong H\"ormander condition involving the first order Lie brackets. The density estimates are written in terms of a norm which accounts for the non-isotropic structure of the problem: in a small time $\delta$, the diffusion process propagates with speed $\sqrt{\delta}$ in the direction of the diffusion vector fields $\sigma_{j}$ and with speed $\delta=\sqrt{\delta}\times \sqrt{\delta}$ in the direction of $[\sigma_{i},\sigma_{j}]$. In the second part of this paper, such estimates will be used in order to study lower and upper bounds for the probability that the diffusion process remains in a tube around a skeleton path up to a fixed time.