Cauchy-Dirichlet problems for a class of hypoelliptic equation in \R^d: q new probabilistic representation formula for the gradient of the solutions

2021/07/06 by Giuseppe Da Prato, Da Prato, Giuseppe, Luciano Tubaro +1
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #Analysis of PDEs (math.AP) #FOS: Mathematics #Numerical methods in inverse problems #Probability (math.PR) #Stochastic processes and financial applications #math.AP #math.PR

paper · pdf · doi:10.48550/arxiv.2107.02502

23 pages

arxiv created 2021/07/06 · openalex publication_date 2021/07/06 · arxiv updated 2021/07/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove the existence and a new representation formula for the gradient of the semigroup associated to an Ornstein-Uhlenbeck in a bounded convex domain in d dimensions.

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