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arXiv · 1110.5150

Bismut Formulae and Applications for Functional SPDEs

Jianhai Bao·Feng-Yu Wang·Chenggui Yuan
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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

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Jianhai Bao, Feng-Yu Wang, Chenggui Yuan. 2011-10-24. Bismut Formulae and Applications for Functional SPDEs. https://arxiv.org/abs/1110.5150

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