Stochastic differential equations on the plane: Smoothness of the solution

DOI10.1016/0047-259X(89)90046-8MaRDI QIDQ583719zbMATH OpenFDO

Authors David Nualart, Marta Sanz-Solé

Publication date 1989

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(89)90046-8

zbMATH Keywords

Brownian sheetHoermander's conditionhypoellipticityMalliavin calculusnon-degeneracy conditions

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

This paper deals with m-dimensional stochastic differential equations based on a d-dimensional Brownian sheet. Applying the Malliavin calculus of 2-parameter Wiener functionals, the authors investigate non-degeneracy conditions on the coefficients, which admit a smooth density function for the law of solution.

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Cites work

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Cited in

(17)

• Random nonlinear wave equations: Smoothness of the solutions
• The law of the solution to a nonlinear hyperbolic SPDE
• Absolute continuity of the law of the solution to the 3-dimensional stochastic wave equation.
• Logarithmic estimates for the density of hypoelliptic two-parameter diffusions
• Hyperbolic stochastic differential equations: Absolute continuity of the law of the solution at a fixed point
• Quasi-sure product variation of two-parameter smooth martingales on the Wiener space
• Stochastic volterra equations in the plane: smoothness of the law
• A Regularity Condition for Non-Markovian Solutions of Stochastic Differential Equations in the Plane
• scientific article; zbMATH DE number 4098426 (Why is no real title available?)
• scientific article; zbMATH DE number 1121866 (Why is no real title available?)
• Two-parameter diffusions random fields
• Quasi-sure analysis of two-parameter stochastic differential equations
• scientific article; zbMATH DE number 908105 (Why is no real title available?)
• On the existence of solutions with smooth density of stochastic differential equations in plane
• Malliavin differentiability of solutions of hyperbolic stochastic partial differential equations with irregular drifts
• Optimal control of SPDEs driven by time-space Brownian motion
• Fourier expansions with polynomial terms for random processes

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