Malliavin matrix of degenerate SDE and gradient estimate

DOI10.1214/EJP.V19-3120zbMATH Open1310.60076arXiv1308.5776MaRDI QIDQ743499FDOQ743499

Authors: Zhao Dong, Xuhui Peng 

Publication date: 24 September 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: In this paper, we prove that the inverse of Malliavin matrix is p integrable for a kind of degenerate stochastic differential equation under some conditions, which like to Hormander condition, but don't need all the coefficients of the SDE are smooth. Furthermore, we obtain a uniform estimation for Malliavin matrix, a gradient estimate, and prove that the semigroup generated by the SDE is strong Feller. Also some examples are given.

Full work available at URL: https://arxiv.org/abs/1308.5776

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zbMATH Keywords

gradient estimate[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDrmander%27s+bracket+condition&go=Go H��rmander's bracket condition]degenerate stochastic differential equationsMalliavin matrixstrong Feller semigroup

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (6)

• A remark on Malliavin calculus: uniform estimates and localization
• Decomposition formula and stationary measures for stochastic Lotka-Volterra system with applications to turbulent convection
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Exponential ergodicity for SDEs under the total variation
• Optimal friction matrix for underdamped Langevin sampling
• A mean-reverting SDE on correlation matrices

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