Existence of densities for stochastic evolution equations driven by fractional Brownian motion

DOI10.1142/S021949372150009XMaRDI QIDQ4965644zbMATH OpenOpenAlexFDO

Authors Jorge A. de Nascimento, Alberto Ohashi

Publication date 9 March 2021

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.08106

zbMATH Keywords

Malliavin calculusstochastic partial differential equationsfractional Brownian motionHörmander's theorem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22)

Abstract: In this work, we prove a version of H"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $frac12<H<1$ and an analytic semigroup on a given separable Hilbert space. In contrast to the classical finite-dimensional case, the Jacobian operator in typical solutions of parabolic stochastic PDEs is not invertible which causes a severe difficulty in expressing the Malliavin matrix in terms of an adapted process. Under a H"{o}rmander's bracket condition and some algebraic constraints on the vector fields combined with the range of the semigroup, we prove the law of finite-dimensional projections of such solutions has a density w.r.t Lebesgue measure. The argument is based on rough path techniques and a suitable analysis on the Gaussian space of the fractional Brownian motion.

Recommendations

• A version of Hörmander's theorem for the fractional Brownian motion
• Stochastic evolution equations with fractional Brownian motion
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Stochastic delay differential equations in a Hilbert space driven by fractional Brownian motion
• EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

Cites work

• scientific article; zbMATH DE number 3833013 (Why is no real title available?)
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3986319 (Why is no real title available?)
• scientific article; zbMATH DE number 1223843 (Why is no real title available?)
• scientific article; zbMATH DE number 1770105 (Why is no real title available?)
• scientific article; zbMATH DE number 764364 (Why is no real title available?)
• A course on rough paths. With an introduction to regularity structures
• A version of Hörmander's theorem for the fractional Brownian motion
• A version of the Hörmander-Malliavin theorem in 2-smooth Banach spaces
• An abstract approximate controllability result and applications to elliptic and parabolic systems with dynamic boundary conditions
• An inequality of the Hölder type, connected with Stieltjes integration
• Analytic semigroups and optimal regularity in parabolic problems
• Controlling rough paths
• Densities for rough differential equations under Hörmander's condition
• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
• Differential equations driven by fractional Brownian motion
• Doob-Meyer for rough paths
• Ergodic theory for SDEs with extrinsic memory
• Evolution equations driven by a fractional Brownian motion
• Functional analysis
• Hypoellipticity in infinite dimensions and an application in interest rate theory
• Hörmander's theorem for semilinear SPDEs
• Integrability and tail estimates for Gaussian rough differential equations
• Malliavin calculus and stochastic analysis. A Festschrift in honor of David Nualart
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Markov Processes, Gaussian Processes, and Local Times
• Non-degeneracy of Wiener functionals arising from rough differential equations
• Rough evolution equations
• Semigroups of linear operators and applications to partial differential equations
• Smoothness of the density for solutions to Gaussian rough differential equations
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations
• The Malliavin Calculus and Related Topics
• Tools for Malliavin calculus in UMD Banach spaces

Cited in

(7)

• Mild stochastic sewing lemma, SPDE in random environment, and fractional averaging
• A version of Hörmander's theorem for the fractional Brownian motion
• The existence of the density for the solution of stochastic differential equation driven by fractional Brownian motion with Markovian switching
• Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
• A version of the Hörmander-Malliavin theorem in 2-smooth Banach spaces
• Existence of density for solutions of mixed stochastic equations
• Jacobi processes driven by fractional Brownian motion

This page was built for publication: Existence of densities for stochastic evolution equations driven by fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4965644)