Integration by parts on Bessel Bridges and related stochastic partial differential equations
[Integration par parties sur Ponts de Bessel et EDPS correspondantes]
Zambotti, Lorenzo1
1 Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126 Pisa, Italy
Comptes Rendus. Mathématique, Tome 334 (2002) no. 3, pp. 209-212.

Nous prouvons des formules d'intégration par parties par rapport à la loi des Ponts de Bessel de dimension δ⩾3. Remarquons que dans le cas δ=3 nous obtenons une mesure de bord infini-dimensionelle, et pour δ>3 une dérivée logarithmique singulière. Nous donnerons aussi des applications à des EDPS avec bruit blanc en espace-temps et termes de dérive singuliers, dont les solutions sont non-négatives.

We prove integration by parts formulae with respect to the law of Bessel Bridges of dimension δ⩾3. For δ=3 we have an infinite-dimensional boundary measure, and for δ>3 a singular logarithmic derivative. We give applications to SPDEs with additive space-time white noise and singular drifts, whose solutions are non-negative.

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Accepté le :
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DOI : 10.1016/S1631-073X(02)02254-9
Zambotti, Lorenzo 1

1 Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126 Pisa, Italy 
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Zambotti, Lorenzo. Integration by parts on Bessel Bridges and related stochastic partial differential equations. Comptes Rendus. Mathématique, Tome 334 (2002) no. 3, pp. 209-212. doi : 10.1016/S1631-073X(02)02254-9. http://www.numdam.org/articles/10.1016/S1631-073X(02)02254-9/

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