Displaying similar documents to “Differentiability of the transition semigroup of the stochastic Burgers equation, and application to the corresponding Hamilton-Jacobi equation”

Multivalued backward stochastic differential equations with time delayed generators

Bakarime Diomande, Lucian Maticiuc (2014)

Open Mathematics

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Our aim is to study the following new type of multivalued backward stochastic differential equation: - d Y t + ∂ φ Y t d t ∋ F t , Y t , Z t , Y t , Z t d t + Z t d W t , 0 ⩽ t ⩽ T , Y T = ξ , where ∂φ is the subdifferential of a convex function and (Y t, Z t):= (Y(t + θ), Z(t + θ))θ∈[−T,0] represent the past values of the solution over the interval [0, t]. Our results are based on the existence theorem from Delong Imkeller, Ann. Appl. Probab., 2010, concerning backward stochastic differential equations with time delayed generators.

Regularity results for infinite dimensional diffusions. A Malliavin calculus approach

Stefano Bonaccorsi, Marco Fuhrman (1999)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

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We prove some smoothing properties for the transition semigroup associated to a nonlinear stochastic equation in a Hilbert space. The proof introduces some tools from the Malliavin calculus and is based on a integration by parts formula.

Backward doubly stochastic differential equations with infinite time horizon

Bo Zhu, Baoyan Han (2012)

Applications of Mathematics

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We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.

A note on the regularity of solutions of Hamilton-Jacobi equations with superlinear growth in the gradient variable

Pierre Cardaliaguet (2009)

ESAIM: Control, Optimisation and Calculus of Variations

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We investigate the regularity of solutions of first order Hamilton-Jacobi equation with super linear growth in the gradient variable. We show that the solutions are locally Hölder continuous with Hölder exponent depending only on the growth of the hamiltonian. The proof relies on a reverse Hölder inequality.