Malliavin calculus for non-Gaussian differentiable measures and surface measures in Hilbert spaces

DOI10.1090/tran/7195zbMath1392.28012arXiv1608.05964OpenAlexW2964345371WikidataQ103916926 ScholiaQ103916926MaRDI QIDQ4642526

Luciano Tubaro, Alessandra Lunardi, Giuseppe Da Prato

Publication date: 23 May 2018

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.05964

zbMATH Keywords

invariant measuresstochastic PDEsinfinite dimensional analysisprobability measures in Hilbert spacessurface integrals in Hilbert spaces

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

Related Items (11)

BV functions in Hilbert spaces ⋮ An integral inequality for the invariant measure of a stochastic reaction-diffusion equation ⋮ Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas ⋮ Surface measures and integration by parts formula on levels sets induced by functionals of the Brownian motion in \(\mathbb{R}^n\) ⋮ Gradient estimates and maximal dissipativity for the Kolmogorov operator in \(\Phi^4_2\) ⋮ Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ \(L^2\)-theory for transition semigroups associated to dissipative systems ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ On the law of the minimum in a class of unidimensional SDEs ⋮ On Skorokhod differentiable measures ⋮ \(BV\) functions on open domains: the Wiener case and a Fomin differentiable case

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