Integration by parts on the Brownian Meander

DOI10.1090/S0002-9939-03-07097-7zbMath1039.60052OpenAlexW1487783783MaRDI QIDQ4441802

Lorenzo Zambotti, Stefano Bonaccorsi

Publication date: 7 January 2004

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-03-07097-7

zbMATH Keywords

integration by partsstochastic partial differential equations with reflection

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Local time and additive functionals (60J55)

Cites Work

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• White noise driven quasilinear SPDEs with reflection
• Weak convergence to Brownian meander and Brownian excursion
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications

Related Items (10)

On the sojourn time of a generalized Brownian meander ⋮ Integration by parts formulae for Wiener measures on a path space between two curves ⋮ Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas ⋮ Surface measures and integration by parts formula on levels sets induced by functionals of the Brownian motion in \(\mathbb{R}^n\) ⋮ Some results on the Brownian meander with drift ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Conservative stochastic Cahn-Hilliard equation with reflection ⋮ On the law of the minimum in a class of unidimensional SDEs ⋮ Cameron-Martin formula for the \(\sigma \)-finite measure unifying Brownian penalisations ⋮ Integration by parts for a Lie group valued Brownian motion

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