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
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页数：23
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