2023/11/02 by Fabrice Baudoin, Baudoin, Fabrice, Maria Gordina +7
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #Stochastic processes and financial applications #Numerical methods in inverse problems
paper · pdf · doi:10.48550/arxiv.2311.01440
For a family of infinite-dimensional diffusions with degenerate noise, we develop a modified Γ calculus on finite-dimensional projections of the equation in order to produce explicit functional inequalities that can be scaled to infinite dimensions. The choice of our Γ operator appears canonical in our context, as the estimates depend only on the induced control distance. We apply the general analysis to a number of examples, exploring implications for quasi-invariance and uniqueness of stationary distributions.