Bessel SPDEs with general Dirichlet boundary conditions

DOI10.1214/21-EJP632zbMATH Open1473.60091arXiv1908.02241MaRDI QIDQ2042829FDOQ2042829

Authors: Henri Elad Altman 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We generalise the integration by parts formulae obtained in arXiv:1811.00518v5 [math.PR] to Bessel bridges on $[0,1]$ with arbitrary boundary values, as well as Bessel processes with arbitrary initial conditions. This allows us to write, formally, the corresponding dynamics using renormalised local times, thus extending the Bessel SPDEs of arXiv:1811.00518v5 [math.PR] to general Dirichlet boundary conditions. We also prove a dynamical result for the case of dimension $2$, by providing a weak construction of the gradient dynamics corresponding to a $2$-dimensional Bessel bridge.

Full work available at URL: https://arxiv.org/abs/1908.02241

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zbMATH Keywords

Dirichlet formsBessel processeslocal timesrenormalisationintegration by parts formulaesingular SPDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Singular stochastic partial differential equations (60H17)

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Cited In (7)

• Integration by parts on Bessel bridges and related stochastic partial differential equations
• Bessel SPDEs and renormalised local times
• Integration by parts on \(\delta\)-Bessel bridges, \(\delta>3\), and related SPDEs
• Bismut-Elworthy-Li formulae for Bessel processes
• Taylor estimates for the laws of pinned Bessel bridges, and integration by parts
• Boundary renormalisation of SPDEs
• Diffusions with Bessel-like drifts. II

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