Integration by parts formula for SPDEs with multiplicative noise and its applications

被引：2

作者：

Huang, Xing ^{[1
]}

Liu, Li-Xia ^{[2
]}

Zhang, Shao-Qin ^{[3
]}

机构：

[1] Tianjin Univ, Ctr Appl Math, Tianjin 300072, Peoples R China

[2] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China

[3] Cent Univ Finance & Econ, Sch Stat & Math, Beijing 100081, Peoples R China

来源：

STOCHASTICS AND DYNAMICS | 2019年 / 19卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Integration by parts formula; multiplicative noise; stochastic partial differential equations; Malliavin calculus;

D O I：

10.1142/S0219493719500242

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

By using the Malliavin calculus, the Driver-type integration by parts formula is established for the semigroup associated to SPDEs with Multiplicative Noise. Moreover, estimates on the logarithmic derivative of the transition probability measure are obtained. A concrete example to describe evolution of spin systems on discrete lattices is given to illustrate our main result.

引用

页数：23

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