Integration by parts formula and applications for SPDEs with jumps

DOI10.1080/17442508.2016.1140765zbMATH Open1352.60078arXiv1601.01733OpenAlexW2963546420MaRDI QIDQ2833698FDOQ2833698

Authors: Feng-Yu Wang 

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: By using the Malliavin calculus and finite jump approximations, the Driver-type integration by parts formula is established for the semigroup associated to stochastic (partial) differential equations with noises containing a subordinate Brownian motion. As applications, the shift Harnack inequality and heat kernel estimates are derived. The main results are illustrated by SDEs driven by $aa$-stable like processes.

Full work available at URL: https://arxiv.org/abs/1601.01733

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zbMATH Keywords

Malliavin calculusheat kernelstochastic partial differential equationsubordinate Brownian motionshift Harnack inequalityintegration-by-parts formula\(\alpha\)-stable-like processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Integro-differential operators (47G20) Stable stochastic processes (60G52) Stochastic integrals (60H05)

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• Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions
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• Applications of integration by parts formula for infinite-dimensional semimartingales
• An integration by parts formula for stochastic heat equations with fractional noise
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