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Existence of densities for stochastic evolution equations driven by fractional Brownian motion
Stochastics and Dynamics ( IF 1.1 ) Pub Date : 2020-08-22 , DOI: 10.1142/s021949372150009x
Jorge A. de Nascimento 1 , Alberto Ohashi 2
Affiliation  

In this work, we prove a version of Hörmander’s theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent [Formula: see text] and an analytic semigroup on a given separable Hilbert space. In contrast to the classical finite-dimensional case, the Jacobian operator in typical solutions of parabolic stochastic PDEs is not invertible which causes a severe difficulty in expressing the Malliavin matrix in terms of an adapted process. Under a Hörmander’s bracket condition and some algebraic constraints on the vector fields combined with the range of the semigroup, we prove that the law of finite-dimensional projections of such solutions has a density with respect to Lebesgue measure. The argument is based on rough path techniques and a suitable analysis on the Gaussian space of the fractional Brownian motion.

中文翻译:

分数布朗运动驱动的随机演化方程的密度存在

在这项工作中,我们证明了一个随机演化方程的 Hörmander 定理版本,该方程由具有赫斯特指数 [公式:见正文] 的迹类分数布朗运动和给定可分离希尔伯特空间上的解析半群驱动。与经典的有限维情况相比,抛物线随机偏微分方程的典型解中的雅可比算子是不可逆的,这导致很难根据适应过程来表达 Malliavin 矩阵。在霍曼括号条件和向量场上的一些代数约束下,结合半群的范围,我们证明了这种解的有限维投影定律关于勒贝格测度具有密度。
更新日期:2020-08-22
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