Integration by parts on Bessel bridges and related stochastic partial differential equations

DOI10.1016/S1631-073X(02)02254-9MaRDI QIDQ1598489zbMATH OpenOpenAlexFDO

Authors L. Zambotti

Publication date 4 August 2002

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

Full work available at URL https://doi.org/10.1016/s1631-073x(02)02254-9

zbMATH Keywords

Bessel bridgesintegration by partsstochastic partial differential equations

Mathematics Subject Classification ID

Dirichlet forms (31C25) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

This truely remarkable paper contains integration by parts formulae for the law of Bessel bridges of dimension \(\delta\geq 3\). For \(\delta >3\) the logarithmic derivative is very singular and for \(\delta=3\) a boundary term given by an essentially explicit boundary measure appears. This is one of the first generic cases of integration by parts formulae with a boundary term in infinite dimensions. Striking applications to stochastic partial differential equations are also given.

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Cites work

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Cited in

(14)

• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Integration by parts on \(\delta\)-Bessel bridges, \(\delta>3\), and related SPDEs
• Tree-valued Fleming-Viot dynamics with mutation and selection
• Tree-valued resampling dynamics martingale problems and applications
• Bessel SPDEs with general Dirichlet boundary conditions
• Bessel SPDEs and renormalised local times
• Integration by parts on the law of the modulus of the Brownian bridge
• Subtree prune and regraft: a reversible real tree-valued Markov process
• Integration by parts formulas and dilatation vector fields on elliptic probability spaces
• Wiener integrals for centered Bessel and related processes. II.
• Integration by parts on the Brownian Meander
• Taylor estimates for the laws of pinned Bessel bridges, and integration by parts
• Preventing finite-time blowup in a constrained potential for reaction-diffusion equations
• Integration by parts formulae for Wiener measures on a path space between two curves

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