Malliavin Matrix of Degenerate SDE and Gradient Estimate
Probability
2020-04-23 v3
Abstract
In this paper, we prove that the inverse of Malliavin matrix is p integrable for a kind of degenerate stochastic differential equation under some conditions, which like to Hormander condition, but don't need all the coefficients of the SDE are smooth. Furthermore, we obtain a uniform estimation for Malliavin matrix, a gradient estimate, and prove that the semigroup generated by the SDE is strong Feller. Also some examples are given.
Keywords
Cite
@article{arxiv.1308.5776,
title = {Malliavin Matrix of Degenerate SDE and Gradient Estimate},
author = {Dong Zhao and Xuhui Peng},
journal= {arXiv preprint arXiv:1308.5776},
year = {2020}
}