Logarithmic derivatives of invariant measure for stochastic differential equations in hilbert spaces |
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Abstract: | We consider a process X solution of a semilinear stochastic evolution equation in a Hilbert space. Assuming that X has an invariant measure ν, we investigate its regularity properties. Logarithmic derivatives of ν in certain directions, are shown to exist under appropriate conditions on the nonlinear term in the equation. A set of directions of differentiability for ν is explicitly described in terms of the coefficients of the equation. In some cases, logarithmic derivatives are represented as conditional expectations of random variables related to an appropriate stationary process. An application to a system of stochastic partial differential equations in one space variable is given |
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Keywords: | Stochastic evolution equations Stochastic processes in infinite dimensional spaces Invariant measures Logarithmic derivatives AMS 1991 Classifications: 60H30, 60H07, 60H15 |
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