Bismut Formulae and Applications for Functional SPDEs

Preprint English OPEN
Bao, Jianhai ; Wang, Feng-Yu ; Yuan, Chenggui (2011)
  • Subject: Mathematics - Probability
    arxiv: Mathematics::Probability

By using Malliavin calculus, explicit derivative formulae are established for a class of semi-linear functional stochastic partial differential equations with additive or multiplicative noise. As applications, gradient estimates and Harnack inequalities are derived for the semigroup of the associated segment process. Keywords: Bismut formula, Malliavin calculus, gradient estimate, Harnack inequality, functional SPDE
  • References (17)
    17 references, page 1 of 2

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