On regularity of invariant measures of multivalued stochastic differential equations

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Ren, Jiagang¹  Wu, Jing¹ 

[1] Sun Yat Sen Univ, Sch Math & Computat Sci, Guangzhou 510275, Guangdong, Peoples R China

关键词: Multivalued stochastic differential equation;    Transition semigroup;    Invariant measure;    Lebesgue measure;    Regularity;   

DOI  :  10.1016/j.spa.2011.10.008

来源: Elsevier

【 摘 要 】

We prove that the invariant measure associated to a multivalued stochastic differential equation is absolutely continuous with respect to the Lebesgue measure with a density rho is an element of B(loc)(s,p,q) for all 1 < p < dl(d - 1), 0 < s < 1 and q >= 1, and rho is an element of W(1,q)(O) for all q > 1 provided that O subset of Int(D(A)). In particular, p is locally a-Holder continuous in Int(D(A)) for all alpha < 1. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

Free