Malliavin matrix of degenerate SDE and gradient estimate

DOI10.1214/EJP.V19-3120MaRDI QIDQ743499zbMATHFDO

Authors Zhao Dong, Xuhui Peng

Publication date 24 September 2014

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

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

zbMATH Keywords

gradient estimatedegenerate stochastic differential equationsMalliavin matrixstrong Feller semigroupHörmander's bracket condition

Mathematics Subject Classification ID

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

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.

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Cited in

(6)

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

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