An integral inequality for the invariant measure of some finite dimensional stochastic differential equation

Abstract: We prove an integral inequality for the invariant measure

u

of a stochastic differential equation with additive noise in a finite dimensional space

H = R^{d}

. As a consequence, we show that there exists the Fomin derivative of

u

in any direction

z i n H

and that it is given by

v_{z} = l a n g l e D l o g h o, z a n g l e

, where

h o

is the density of

u

with respect to the Lebesgue measure. Moreover, we prove that

v_{z} i n L^{p} (H, u)

for any

p i n [1, i n f t y)

. Also we study some properties of the gradient operator in

L^{p} (H, u)

and of his adjoint.

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