Integration by parts on the Brownian Meander

DOI10.1090/S0002-9939-03-07097-7zbMath1039.60052MaRDI QIDQ4441802

Lorenzo Zambotti, Stefano Bonaccorsi

Publication date: 7 January 2004

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-03-07097-7

zbMATH Keywords

integration by parts; stochastic partial differential equations with reflection

Mathematics Subject Classification ID

60H07: Stochastic calculus of variations and the Malliavin calculus

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60J55: Local time and additive functionals

Related Items

On the sojourn time of a generalized Brownian meander, Integration by parts formulae for Wiener measures on a path space between two curves, Cameron-Martin formula for the \(\sigma \)-finite measure unifying Brownian penalisations, Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas, On the law of the minimum in a class of unidimensional SDEs, Surface measures and integration by parts formula on levels sets induced by functionals of the Brownian motion in \(\mathbb{R}^n\), Some results on the Brownian meander with drift, \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders, Conservative stochastic Cahn-Hilliard equation with reflection

Cites Work

• White noise driven quasilinear SPDEs with reflection
• Weak convergence to Brownian meander and Brownian excursion
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
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