Bessel SPDEs with general Dirichlet boundary conditions

DOI10.1214/21-EJP632MaRDI QIDQ2042829zbMATH OpenFDO

Authors Henri Elad Altman

Publication date 21 July 2021

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

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

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)

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.

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Cited in

(7)

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

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