Bismut formulae and applications for functional SPDEs

DOI10.1016/J.BULSCI.2012.11.005MaRDI QIDQ388136zbMATH OpenOpenAlexFDO

Authors Jianhai Bao, Chenggui Yuan, Feng-Yu Wang

Publication date 19 December 2013

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

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)

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

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Cites work

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Cited in

(19)

• Asymptotic Bismut formulae for stochastic functional differential equations with infinite delay
• Harnack inequalities for functional SDEs driven by fractional Ornstein-Uhlenbeck process
• 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
• Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients
• Integration by parts formula for SPDEs with multiplicative noise and its applications
• 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

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