The differentiation of hypoelliptic diffusion semigroups

zbMath1270.60073arXiv1004.2174MaRDI QIDQ1928879

Anton Thalmaier, Marc Arnaudon

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

zbMATH Keywords

Malliavin calculusderivative formulaintegration-by-parts formulahypo-elliptic diffusion semigroup

Mathematics Subject Classification ID

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

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Derivative formulas and Poincaré inequality for Kohn-Laplacian type semigroups ⋮ Derivative formula and applications for degenerate diffusion semigroups ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ Derivative formula and gradient estimates for Gruschin type semigroups ⋮ 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

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