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: -