The differentiation of hypoelliptic diffusion semigroups

MaRDI QIDQ1928879zbMATH OpenFDO

Authors Marc Arnaudon, Anton Thalmaier

Publication date 4 January 2013

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.2174, https://projecteuclid.org/euclid.ijm/1348505529

zbMATH Keywords

derivative formulahypo-elliptic diffusion semigroupintegration-by-parts formulaMalliavin calculus

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. Emphasis is placed on developing integration by parts formulas at the level of local martingales. Combined with the optional sampling theorem, this turns out to be an efficient way of dealing with boundary conditions, as well as with finite lifetime of the underlying diffusion. Our formulas require hypoellipticity of the diffusion in the sense of Malliavin calculus (integrability of the inverse Malliavin covariance) and are formulated in terms of the derivative flow, the Malliavin covariance and its inverse. Finally some extensions to the nonlinear setting of harmonic mappings are discussed.

Recommendations

• Bismut type differentiation of semigroups
• Hypoelliptic non-homogeneous diffusions
• scientific article; zbMATH DE number 868160
• Formulae for the derivatives of degenerate diffusion semigroups
• Derivative and divergence formulae for diffusion semigroups

Cites work

• Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
• An extension of Hörmander's theorem for infinitely degenerate second-order operators
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Complete lifts of connections and stochastic Jacobi fields
• Divergence theorems in path space. III: Hypoelliptic diffusions and beyond
• Gradient estimates for harmonic functions on regular domains in Riemannian manifolds
• Heat equation derivative formulas for vector bundles
• scientific article; zbMATH DE number 4194862 (Why is no real title available?)
• scientific article; zbMATH DE number 3986319 (Why is no real title available?)
• scientific article; zbMATH DE number 4111705 (Why is no real title available?)
• scientific article; zbMATH DE number 3744233 (Why is no real title available?)
• scientific article; zbMATH DE number 1210403 (Why is no real title available?)
• scientific article; zbMATH DE number 2174798 (Why is no real title available?)
• scientific article; zbMATH DE number 780870 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• On the differentiation of heat semigroups and poisson integrals
• On the geometry of diffusion operators and stochastic flows
• Some remarks on the heat flow for functions and forms
• The Poisson kernel for certain degenerate elliptic operators

Cited in

(26)

• Estimates for the derivative of diffusion semigroups
• Formulae for the derivatives of heat semigroups
• Hypoelliptic non-homogeneous diffusions
• Smoothness of harmonic maps for hypoelliptic diffusions.
• On the stability of matrix-valued Riccati diffusions
• Integration by parts formula for killed processes: a point of view from approximation theory
• Bismut formula for Lions derivative of distribution dependent SDEs and applications
• Derivative and divergence formulae for diffusion semigroups
• Higher-order relations for derivatives of nonlinear diffusion semigroups
• Bismut type differentiation of semigroups
• Derivative formulas and Poincaré inequality for Kohn-Laplacian type semigroups
• scientific article; zbMATH DE number 2127970 (Why is no real title available?)
• A geometrical hypoelliptic diffusion
• scientific article; zbMATH DE number 4061989 (Why is no real title available?)
• Derivative formula and applications for degenerate diffusion semigroups
• On the differentiation of heat semigroups and poisson integrals
• Derivative formula and gradient estimates for Gruschin type semigroups
• scientific article; zbMATH DE number 868160 (Why is no real title available?)
• Stochastic analysis on sub-Riemannian manifolds with transverse symmetries
• scientific article; zbMATH DE number 2239823 (Why is no real title available?)
• Differentiability of semigroups of stochastic differential equations with H\"older-continuous diffusion coefficients
• On diffusion semigroups preserving the log-concavity
• Total variation bound for Milstein scheme without iterated integrals
• Non-Markovian maximal couplings and a vertical reflection principle on a class of sub-Riemannian manifolds
• A coupling strategy for Brownian motions at fixed time on Carnot groups using Legendre expansion
• Formulae for the derivatives of degenerate diffusion semigroups

This page was built for publication: The differentiation of hypoelliptic diffusion semigroups

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1928879)