Degenerate Stochastic Differential Equations and Hypoellipticity

1st Edition

Denis Bell

Chapman and Hall/CRC
Published May 15, 1996
Reference - 128 Pages
ISBN 9780582246898 - CAT# LM4689
Series: Monographs and Surveys in Pure and Applied Mathematics

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Summary

The main theme of this Monograph is the study of degenerate stochastic differential equations, considered as transformations of the Wiener measure, and their relationship with partial differential equations. The book contains an elementary derivation of Malliavin's integration by parts formula, a proof of the probabilistic form of Hormander's theorem, an extension of Hormander's theorem for infinitely degenerate differential operators, and criteria for the regularity of measures induced by stochastic
hereditary-delay equations.

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