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A Bismut–Elworthy inequality for a Wasserstein diffusion on the circle

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We introduce in this paper a strategy to prove gradient estimates for some infinite-dimensional diffusions on $$L_2$$ L 2 -Wasserstein spaces. For a specific example of a diffusion on the… Click to show full abstract

We introduce in this paper a strategy to prove gradient estimates for some infinite-dimensional diffusions on $$L_2$$ L 2 -Wasserstein spaces. For a specific example of a diffusion on the $$L_2$$ L 2 -Wasserstein space of the torus, we get a Bismut-Elworthy-Li formula up to a remainder term and deduce a gradient estimate with a rate of blow-up of order $$\mathcal O(t^{-(2+\varepsilon )})$$ O ( t - ( 2 + ε ) ) .

Keywords: jats inline; math; mml; mml mml; inline formula

Journal Title: Stochastics and Partial Differential Equations: Analysis and Computations
Year Published: 2021

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