Illinois Journal of Mathematics

The differentiation of hypoelliptic diffusion semigroups

Marc Arnaudon and Anton Thalmaier

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Abstract

Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. According to our approach, special emphasis is placed on integration by parts formulas at the level of local martingales. Combined with the optional sampling theorem, this turns out to be an efficient way of dealing with boundary conditions, as well as with difficulties related to finite lifetime of the underlying diffusion. Our formulas require hypoellipticity of the diffusion in the sense of Malliavin calculus (integrability of the inverse Malliavin covariance) and are formulated in terms of the derivative flow, the Malliavin covariance and its inverse. Finally, some extensions to the nonlinear setting of harmonic mappings are discussed.

Article information

Source
Illinois J. Math., Volume 54, Number 4 (2010), 1285-1311.

Dates
First available in Project Euclid: 24 September 2012

Permanent link to this document
https://projecteuclid.org/euclid.ijm/1348505529

Digital Object Identifier
doi:10.1215/ijm/1348505529

Mathematical Reviews number (MathSciNet)
MR2981848

Zentralblatt MATH identifier
1270.60073

Subjects
Primary: 58G32 60H30: Applications of stochastic analysis (to PDE, etc.)
Secondary: 60H10: Stochastic ordinary differential equations [See also 34F05]

Citation

Arnaudon, Marc; Thalmaier, Anton. The differentiation of hypoelliptic diffusion semigroups. Illinois J. Math. 54 (2010), no. 4, 1285--1311. doi:10.1215/ijm/1348505529. https://projecteuclid.org/euclid.ijm/1348505529


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