A Bismut type formula for the Hessian of heat semigroups |
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| Authors: | Marc Arnaudon Holger Plank Anton Thalmaier |
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| Affiliation: | 1. Département de mathématiques, Université de Poitiers, Téléport 2, BP 30179, 86962 Futuroscope Chasseneuil cedex, France;2. Universität Regensburg, NWF I, Mathematik, 93040 Regensburg, Germany;3. Université d''Evry, laboratoire d''analyse et probabilité, département de mathématiques, bd François Mitterrand, 91025 Evry cedex, France |
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| Abstract: | ![]()
We obtain an intrinsic version of a Bismut type formula for the Hessian of heat semigroups, resp. harmonic functions, by computing second order directional derivatives of families of martingales, along with filtering of redundant noise. As applications we provide a Hessian estimate in the general case as well as a slightly improved one in the radially symmetric situation. To cite this article: M. Arnaudon et al., C. R. Acad. Sci. Paris, Ser. I 336 (2003). |
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| Keywords: | Corresponding author. |
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