Integration by parts on Bessel bridges and related stochastic partial differential equations (Q1598489)
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scientific article; zbMATH DE number 1744380
| Language | Label | Description | Also known as |
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| English | Integration by parts on Bessel bridges and related stochastic partial differential equations |
scientific article; zbMATH DE number 1744380 |
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Integration by parts on Bessel bridges and related stochastic partial differential equations (English)
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4 August 2002
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This truely remarkable paper contains integration by parts formulae for the law of Bessel bridges of dimension \(\delta\geq 3\). For \(\delta >3\) the logarithmic derivative is very singular and for \(\delta=3\) a boundary term given by an essentially explicit boundary measure appears. This is one of the first generic cases of integration by parts formulae with a boundary term in infinite dimensions. Striking applications to stochastic partial differential equations are also given.
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integration by parts
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Bessel bridges
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stochastic partial differential equations
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