Sufficient conditions for the eventual strong Feller property for degenerate stochastic evolutions

DOI10.1016/J.JMAA.2010.11.063MaRDI QIDQ531853zbMATH OpenOpenAlexFDO

Authors Joris Bierkens

Publication date 20 April 2011

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2010.11.063

zbMATH Keywords

Malliavin calculusstochastic delay equationsstochastic evolution equations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

A stochastic delay differential equation with additive noise can be modeled as a stochastic Cauchy problem in some Hilbert space \(H\) of the form \[ dX(t) = [AX + F(X)]dt + G dW(t), \quad t \geq 0,\;\text{ a.s.}, \] \[ X(0)=x \;\text{ a.s.}, \] where \(A\) is the generator of the delay semigroup, \(F\) a sufficiently smooth function and \(G\) a linear operator mapping the Wiener process \(W\) into \(H\). In this paper, the author establishes sufficient conditions for the uniqueness of the invariant probability measure for the degenerate stochastic Cauchy problem. The author combines methods from the semigroup approach and from Malliavin calculus. The main result of this paper is applied to stochastic delay differential equations and stochastic partial differential equations with delay.

Recommendations

• scientific article; zbMATH DE number 4124730
• On the strong Feller property for stochastic delay differential equations with singular drift
• The strong Feller property for singular stochastic PDEs
• Probabilistic approach to the strong Feller property
• scientific article; zbMATH DE number 1779821

Cites work

• An introduction to infinite-dimensional analysis
• Convergence dynamics of stochastic reaction-diffusion recurrent neural networks with continuously distributed delays
• Dissipativity of the delay semigroup
• Ergodicity for Infinite Dimensional Systems
• Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing
• Existence of an invariant measure for stochastic evolutions driven by an eventually compact semigroup
• Existence, uniqueness and invariant measures for stochastic semilinear equations on Hilbert spaces
• scientific article; zbMATH DE number 1671345 (Why is no real title available?)
• scientific article; zbMATH DE number 1260981 (Why is no real title available?)
• scientific article; zbMATH DE number 1779821 (Why is no real title available?)
• scientific article; zbMATH DE number 798179 (Why is no real title available?)
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Null controllability of a class of functional differential systems
• On a class of stochastic equations in hilbert spaces: solvability and smoothing properties
• Probabilistic approach to the strong Feller property
• Smoothing properties of nonlinear stochastic equations in Hilbert spaces
• Stochastic Equations in Infinite Dimensions
• Strong Feller property and irreducibility for diffusions on Hilbert spaces
• The Malliavin Calculus and Related Topics

Cited in

(6)

• Probabilistic approach to the strong Feller property
• The strong Feller property for singular stochastic PDEs
• On the strong Feller property for stochastic delay differential equations with singular drift
• Invariant measures for nonlinear conservation laws driven by stochastic forcing
• Vector-valued stochastic delay equations -- a weak solution and its Markovian representation
• scientific article; zbMATH DE number 4124730 (Why is no real title available?)

This page was built for publication: Sufficient conditions for the eventual strong Feller property for degenerate stochastic evolutions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q531853)