Integration by parts on $\bolds{\delta}$-Bessel bridges, $\bolds{\delta>3}$, and related SPDEs
Zambotti, Lorenzo
Ann. Probab., Tome 31 (2003) no. 1, p. 323-348 / Harvested from Project Euclid
We study a white-noise driven semilinear partial differential equation on the spatial interval $[0,1]$ with Dirichlet boundary condition and with a singular drift of the form $c u^{-3}$, $c>0$. We prove existence and uniqueness of a non-negative continuous adapted solution $u$ on $[0,\infty)\times[0,1]$ for every nonnegative continuous initial datum $x$, satisfying $x(0)=x(1)=0$. We prove that the law $\pi_\delta$ of the Bessel bridge on $[0,1]$ of dimension $\delta>3$ is the unique invariant probability measure of the process $x\mapsto u$, with $c=(\delta-1)(\delta-3)/8$ and, if $\delta\in{\mathbb N}$, that $u$ is the radial part in the sense of Dirichlet forms of the ${\mathbb R}^\delta$-valued solution of a linear stochastic heat equation. An explicit integration by parts formula w.r.t. $\pi_\delta$ is given for all $\delta>3$.
Publié le : 2003-01-14
Classification:  Stochastic partial differential equations,  Bessel bridges,  invariant measures,  integration by parts formulae,  60H15,  60H07,  37L40,  31C25
@article{1046294313,
     author = {Zambotti, Lorenzo},
     title = {Integration by parts on $\bolds{\delta}$-Bessel bridges, $\bolds{\delta>3}$, and related SPDEs},
     journal = {Ann. Probab.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 323-348},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1046294313}
}
Zambotti, Lorenzo. Integration by parts on $\bolds{\delta}$-Bessel bridges, $\bolds{\delta>3}$, and related SPDEs. Ann. Probab., Tome 31 (2003) no. 1, pp.  323-348. http://gdmltest.u-ga.fr/item/1046294313/