Bismut Formulae and Applications for Functional SPDEs
Probability
2011-10-25 v1
Abstract
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
Cite
@article{arxiv.1110.5150,
title = {Bismut Formulae and Applications for Functional SPDEs},
author = {Jianhai Bao and Feng-Yu Wang and Chenggui Yuan},
journal= {arXiv preprint arXiv:1110.5150},
year = {2011}
}
Comments
14 pages