Derivative formula and applications for degenerate diffusion semigroups

DOI10.1016/J.MATPUR.2012.10.007zbMATH Open1328.60141arXiv1107.0096OpenAlexW2019186091MaRDI QIDQ387984FDOQ387984

Authors: Xicheng Zhang, Feng-Yu Wang 

Publication date: 18 December 2013

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Abstract: By using the Malliavin calculus and solving a control problem, Bismut type derivative formulae are established for a class of degenerate diffusion semigroups with non-linear drifts. As applications, explicit gradient estimates and Harnack inequalities are derived.

Full work available at URL: https://arxiv.org/abs/1107.0096

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zbMATH Keywords

Malliavin calculusstochastic differential equationBrownian motionHarnack inequalityMarkov semigroupderivative formulagradient estimatedegenerate diffusion semigroup

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic potential theory (60J45)

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Cited In (33)

• Asymptotic Bismut formulae for stochastic functional differential equations with infinite delay
• Distribution dependent stochastic differential equations
• Formulae for the derivatives of degenerate diffusion semigroups
• Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
• Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
• Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
• Estimates for the derivative of diffusion semigroups
• Bismut formulae and applications for functional SPDEs
• Degenerate Fokker-Planck equations: Bismut formula, gradient estimate and Harnack inequality
• Derivative formula and gradient estimates for Gruschin type semigroups
• Regularities and exponential ergodicity in entropy for SDEs driven by distribution dependent noise
• Hedging portfolio for a market model of degenerate diffusions
• Bismut formula for Lions derivative of distribution-path dependent SDEs
• Entropy estimate for degenerate SDEs with applications to nonlinear kinetic Fokker-Planck equations
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
• Exponential ergodicity and propagation of chaos for path-distribution dependent stochastic Hamiltonian system
• Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion
• Derivative and divergence formulae for diffusion semigroups
• Higher-order relations for derivatives of nonlinear diffusion semigroups
• Stochastic Volterra equations driven by fractional Brownian motion
• Distribution dependent SDEs driven by fractional Brownian motions
• Harnack inequality for distribution dependent second-order stochastic differential equations
• Harnack inequality and derivative formula for stochastic heat equation with fractional noise
• Harnack and shift Harnack inequalities for degenerate (functional) stochastic partial differential equations with singular drifts
• Bismut formula for Lions derivative of distribution dependent SDEs and applications
• Harnack inequality and gradient estimate for functional \(G\)-SDEs with degenerate noise
• Integration by parts formulae for degenerate diffusion measures on path spaces and diffeomorphism groups
• Integration by parts formula and shift Harnack inequality for stochastic equations
• Donsker-Varadhan large deviations for path-distribution dependent SPDEs
• Stochastic functional Hamiltonian system with singular coefficients
• Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
• Weak Poincaré inequalities for convergence rate of degenerate diffusion processes
• Exponential convergence in entropy and Wasserstein for McKean-Vlasov SDEs

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