Derivative formula and applications for degenerate diffusion semigroups (Q387984): Difference between revisions
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English | Derivative formula and applications for degenerate diffusion semigroups |
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Derivative formula and applications for degenerate diffusion semigroups (English)
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18 December 2013
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The authors consider the SDE \[ dX_t = Z(X_t) dt + (0,\sigma dB_t), \quad X_0=x\in \mathbb{R}^{m+d}, \] on \(\mathbb{R}^{m}\times\mathbb{R}^{d}\), where \(\sigma\) is an invertible \(d\times d\) matrix and \(B_t\) is a \(d\)-dimensional Brownian motion. By using the Malliavin calculus and solving a control problem, the authors establish Bismut type derivative formulae for the associated Markov semigroup \[ P_tf(x) = \mathbb{E}f(X_t(x)), \quad t>0,\; x\in \mathbb{R}^{m+d},\; f\in \mathcal{B}_b(\mathbb{R}^{m+d}), \] where \(\mathcal{B}_b(\mathbb{R}^{m+d})\) is the set of all bounded measurable functions on \(\mathbb{R}^{m+d}\). As applications, they derive explicit gradient estimates and Harnack inequalities.
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stochastic differential equation
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Malliavin calculus
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degenerate diffusion semigroup
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Brownian motion
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derivative formula
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Markov semigroup
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gradient estimate
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Harnack inequality
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