Related papers: Hypoellipticity in infinite dimensions and an appl…

We prove an extension of Hoermander's classical result on hypoelliptic second order equations, where the coefficients of the related vector fields are globally Lipschitz and satisfy the classical Hoermander condition on a dense set while…

We present a theory of hypoellipticity and unique ergodicity for semilinear parabolic stochastic PDEs with "polynomial" nonlinearities and additive noise, considered as abstract evolution equations in some Hilbert space. It is shown that if…

We study the problem of the existence and regularity of a probability density in an abstract framework based on a "balancing" with approximating absolutely continuous laws. Typically, the absolutely continuous property for the approximating…

In this work, we prove a version of H\"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H < 1$ and an analytic semigroup on a given separable…

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…

We study Malliavin differentiability for the solutions of a stochastic differential equation with drift of super-linear growth. Assuming we have a monotone drift with polynomial growth, we prove Malliavin differentiability of any order. As…

We consider an infinite-dimensional dynamical system with polynomial nonlinearity and additive noise given by a finite number of Wiener processes. By studying how randomness is spread by the system we develop a counterpart of Hormander's…

The aim of this paper is to show Cauchy-Kowalevski and Holmgren type theorems with infinite number of variables. We adopt von Koch and Hilbert's definition of analyticity of functions as monomial expansions. Our Cauchy-Kowalevski type…

We consider semilinear parabolic stochastic PDEs driven by additive noise. The question addressed in this note is that of the regularity of transition probabilities. If the equation satisfies a Hormander 'bracket condition', then any…

We study the one-dimensional stochastic heat equation with unbounded, nonlinear,Lipschitz coefficients with Dirichlet boundary conditions. Using Malliavin calculus, we construct a piecewise approximation of the solution u and establish…

We prove H\"ormander's type hypoellipticity theorem for stochastic partial differential equations when the coefficients are only measurable with respect to the time variable. The need for such kind of results comes from filtering theory of…

We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators…

Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. Emphasis is placed on developing integration by parts formulas at the level of local martingales.…

We obtain Liouville type theorems for degenerate elliptic equation with a drift term and a potential. The diffusion is driven by H\"ormander operators. We show that the conditions imposed on the coefficients of the operator are optimal.…

We consider a stochastic evolution equation in a 2-smooth Banach space with a densely and continuously embedded Hilbert subspace. We prove that under H\"ormander's bracket condition, the image measure of the solution law under any…

The concept of hypocoercivity for linear evolution equations with dissipation is discussed and equivalent characterizations that were developed for the finite-dimensional case are extended to separable Hilbert spaces. Using the concept of a…

The space of probability distributions on a given sample space possesses natural geometric properties. For example, in the case of a smooth parametric family of probability distributions on the real line, the parameter space has a…

We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to the derivative of the value function, and the final condition…

We prove pathwise (hence strong) uniqueness of solutions to stochastic evolution equations in Hilbert spaces with merely measurable bounded drift and cylindrical Wiener noise, thus generalizing Veretennikov's fundamental result on…

Information Geometry generalizes to infinite dimension by modeling the tangent space of the relevant manifold of probability densities with exponential Orlicz spaces. We review here several properties of the exponential manifold on a…