Malliavin calculus for stochastic differential equations with jumps
| Project/Area Number |
13640132
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Osaka City University |
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Principal Investigator |
KOMATSU Takashi Osaka City Univ., Science, Professor, 大学院・理学研究科, 教授 (80047365)
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| Co-Investigator(Kenkyū-buntansha) |
DATEYAMA Masahito Osaka City Univ., Science, Lecturer, 大学院・理学研究科, 講師 (10163718)
FUJIHARA Tsukasa Hyogo Univ. Edu., Education, Assoc. Prof., 学校教育学部, 助教授 (30199385)
KAMAE Tetsuro Osaka City Univ., Science, Professor, 大学院・理学研究科, 教授 (80047258)
TAKEUCHI Atsushi Osaka City Univ., Science, Res. Assoc., 大学院・理学研究科, 助手 (30336755)
YOSHIDA Masamichi Osaka City Univ., Science, Lecturer, 大学院・理学研究科, 講師 (60264793)
根来 彬 静岡大学, 工学部, 教授 (80021947)
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| Project Period (FY) |
2001 – 2002
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| Project Status |
Completed (Fiscal Year 2002)
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| Budget Amount *help |
¥3,200,000 (Direct Cost: ¥3,200,000)
Fiscal Year 2002: ¥1,500,000 (Direct Cost: ¥1,500,000)
Fiscal Year 2001: ¥1,700,000 (Direct Cost: ¥1,700,000)
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| Keywords | Hormander condition / Malliavin calculus / filtering equation / jump type process / hypoellipticity / Hilbert space / stochastic flow / stochastic differential equation / 飛躍型確立過程 / フィルタリング方程式 / セミマルチンゲール / ヘビィ過程 / 確率密度関数 |
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| Research Abstract |
The first result is on the regularity of solution to the filtering equation for a certain system of jump type processes. Applying a new key lemma in the Malliavin calculus, the existence of smooth density of the solution was proved under a generalized Hormander condition. The second result is the following :
Let a_0(x,x^^-) be an R^N - valued smooth function on R^N × R^N , v(dθ) be a finite measure on a discrete space θ, β_t = (β^θ_t) be a Wiener process, and let μ(dv) be a measure satisfying a strong integrability condition. Consider a system of SDE's of the specific type : for u ∈ R^d, 【numerical formula】
Assume that x^u(0) is smooth in u and the process x(t) = (x^u(t)) takes its values in the Hilbert space H = (L^2(R^d,B(R^d),μ))^N. Let π: H → R^M be a bounded linear mapping. The existence of the smooth density of the law of the random variable π(x(T)) is called the partial hypoellipticity of the SDE. Introduce the partial Hormander condition for vector fields on H : 【numerical formula】
The partial Hormander theorem that the partial hypoellipticity holds under the partial Hormander condition is proved proceeding the Malliavin calculus for SDE's on the Hilbert space H with the help of a new key lemma. The partial Hormander theorem can be applied to the problem about the propagation of absolute continuity of measures induced by stochastic flows defined by a certain system of SDE's.
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Report
(3 results)
Research Products
(31 results)
