Bismut formulae and applications for functional SPDEs

DOI10.1016/J.BULSCI.2012.11.005zbMATH Open1281.60058arXiv1110.5150OpenAlexW2071362390MaRDI QIDQ388136FDOQ388136

Feng-Yu Wang, Jianhai Bao, Chenggui Yuan

Publication date: 19 December 2013

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Abstract: By using Malliavin calculus, explicit derivative formulae are established for a class of semi-linear functional stochastic partial differential equations with additive or multiplicative noise. As applications, gradient estimates and Harnack inequalities are derived for the semigroup of the associated segment process. Keywords: Bismut formula, Malliavin calculus, gradient estimate, Harnack inequality, functional SPDE

Full work available at URL: https://arxiv.org/abs/1110.5150

zbMATH Keywords

Malliavin calculusHarnack inequalitygradient estimateBismut formulafunctional stochastic partial differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Integro-differential operators (47G20)

Cites Work

• Stochastic Equations in Infinite Dimensions
• An Introduction to Partial Differential Equations
• Harnack inequalities for functional SDEs with multiplicative noise and applications
• Large deviations and the Malliavin calculus
• Ergodicity for Infinite Dimensional Systems
• Formulae for the derivatives of heat semigroups
• Harnack inequality and heat kernel estimates on manifolds with curvature unbounded below
• Stochastic flows and Bismut formulas for stochastic Hamiltonian systems
• Degenerate Fokker-Planck equations: Bismut formula, gradient estimate and Harnack inequality
• Harnack inequalities on manifolds with boundary and applications
• Harnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifolds
• LOG-HARNACK INEQUALITY FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN HILBERT SPACES AND ITS CONSEQUENCES
• Gradient estimates and Harnack inequalities on non-compact Riemannian manifolds
• Smoothing properties of nonlinear stochastic equations in Hilbert spaces
• Ergodicity of linear SPDE driven by Lévy noise
• DERIVATIVE FORMULA AND HARNACK INEQUALITY FOR DEGENERATE FUNCTIONAL SDEs
• Formulae for the derivatives of degenerate diffusion semigroups

Cited In (18)

• Asymptotic Bismut formulae for stochastic functional differential equations with infinite delay
• 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
• Asymptotic log-Harnack inequality and applications for stochastic systems of infinite memory
• Harnack inequalities for functional SDEs driven by subordinate Volterra-Gaussian processes
• Harnack inequalities for functional SDEs driven by subordinate multifractional Brownian motion
• Shift Harnack inequality and integration by parts formula for semilinear stochastic partial differential equations
• Bismut formula for Lions derivative of distribution-path dependent SDEs
• Bismut formula for a stochastic heat equation with fractional noise
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
• Integration by parts formula for SPDEs with multiplicative noise and its applications
• Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients
• Harnack inequality and derivative formula for stochastic heat equation with fractional noise
• On some smoothening effects of the transition semigroup of a Lévy process
• Harnack inequalities for functional SDEs driven by subordinate Brownian motions
• Integration by parts formula and shift Harnack inequality for stochastic equations
• Hypercontractivity for functional stochastic differential equations
• Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion

This page was built for publication: Bismut formulae and applications for functional SPDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q388136)