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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 22, Fasc. 1,
pages 13 - 18
 

A LOGARITHMIC SOBOLEV INEQUALITY FOR ONE-DIMENSIONAL MULTIVALUED STOCHASTIC DIFFERENTIAL EQUATIONS

B. Djehiche
M. Eddahbi
Y. Ouknine

Abstract: We establish a logarithmic Sobolev inequality for a one-dimensional multivalued stochastic differential equation associated with the subdifferential of a convex lower semicontinuous function, using an explicit expression for the Malliavin derivative of the considered process. This result is given under some mild conditions on the coefficients.

1991 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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