A Bismut type formula for the Hessian of heat semigroups.

DOI10.1016/S1631-073X(03)00123-7zbMath1038.60043MaRDI QIDQ1417120

Holger Plank, Marc Arnaudon, Anton Thalmaier

Publication date: 18 December 2003

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

zbMATH Keywords

HessianmartingaleBismut formulaItô stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cites Work

• Gradient estimates for harmonic functions on regular domains in Riemannian manifolds
• Formulae for the derivatives of heat semigroups
• On the geometry of diffusion operators and stochastic flows
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