Lecturenotes London

LMS-EPSRC Short Course
Stochastic Partial Dierential

Equations
Imperial College London, 7-11 July 2008
Applications of Malliavin Calculus
to Stochastic Partial Dierential
Equations
Marta Sanz-Sole
Facultat de Matem` atiques
Universitat de Barcelona
Version August 2008
Research supported by the grant MTM 2006-01351 from the Ministerio de Ciencia y Tec-
nologa, Spain
2
Contents
1 Introduction 5
2 Integration by parts and absolute continuity of probability
laws 7
2.1 Properties derived from an integration by parts formula . . . . 7
2.2 Malliavins results . . . . . . . . . . . . . . . . . . . . . . . . . 10
3 Stochastic calculus of variations on an abstract Wiener space 14
3.1 Finite dimensional Gaussian calculus . . . . . . . . . . . . . . 14
3.2 Innite dimensional framework . . . . . . . . . . . . . . . . . 19
3.3 The derivative and divergence operators . . . . . . . . . . . . 22
3.4 Some calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
4 Criteria for Existence and Regularity of Densities 30
4.1 Existence of density . . . . . . . . . . . . . . . . . . . . . . . . 30
4.2 Smoothness of the density . . . . . . . . . . . . . . . . . . . . 34
5 Watanabe-Sobolev Dierentiability of SPDEs 37
5.1 A class of linear homogeneous SPDEs . . . . . . . . . . . . . . 37
5.2 The Malliavin derivative of a SPDE . . . . . . . . . . . . . . . 46
6 Analysis of Non-Degeneracy 55
6.1 Existence of moments of the Malliavin covariance . . . . . . . 55
6.2 Some references . . . . . . . . . . . . . . . . . . . . . . . . . . 62
7 Small perturbations of the density 64
7.1 General results . . . . . . . . . . . . . . . . . . . . . . . . . . 66
7.2 An example: the stochastic heat equation . . . . . . . . . . . . 69
4
1 Introduction
Nowadays, Malliavin calculus is underpinning important developments in
stochastic analysis and its applications. In particular, research on SPDEs is
beneting from the ideas and tools of this calculus. Unexpectedly, this hard
machinery is successfully used in nancial engineering for the computation
of Greeks, and in numerical approximations of SPDEs. The analysis of the
dependence of the Malliavin matrix on its structural parameters is used in
problems of potential theory involving SPDEs, like obtaining the optimal
size of some hitting probabilities. The study of such questions, but also of
some classical issues like the absolute continuity of measures derived from
probability laws of SPDEs, is still an underdeveloped eld.
These notes are a brief introduction to the basic elements of Malliavin calcu-
lus and to some of its applications to SPDEs. They have been prepared for a
series of six lectures at the LMS-EPSRC Short Course on Stochastic Partial
Dierential Equations.
The rst three sections are devoted to introduce the calculus: its motivations,
the main operators and rules, and the criteria for existence and smoothness
of densities of probabilities laws. The last three ones deal with applications
to SPDEs. To be self-contained, we provide some ingredients of the SPDE
framework we are using. Then we study dierentiability in the Malliavin
sense, and non-degeneracy of the Malliavin matrix. The last section is de-
voted to sketch a method to analyze the asymptotic behaviour of densities
of small perturbations of SPDEs. Altogether, this is a short, very short,
journey through a deep and fascinating subject.
To close this short presentation, I would like to express my gratitude to
Professor Dan Crisan, the scientic organizer of the course, for a wonderful
and ecient job, to the London Mathematical Society for the nancial sup-
port, and to the students whose interest and enthusiasm has been a source
of motivation and satisfaction.
Barcelona, August 2008
5
6
2 Integration by parts and absolute continu-
ity of probability laws
This lecture is devoted to present the classical sucient conditions for exis-
tence and regularity of density of nite measures on R
n
and therefore for the
densities of probability laws. The results go back to Malliavin (see [35], but
also [74], [79] and [46]). To check these conditions, Malliavin developed a
dierential calculus on the Wiener space, which in particular allows to prove
an integration by parts formula. The essentials on this calculus will be given
in the next lecture.
2.1 Properties derived from an integration by parts
formula
The integration by parts formula of Malliavin calculus is a simple but ex-
tremely useful tool underpinning many of the sometimes unexpected appli-
cations of this calculus. To illustrate its role and give a motivation, we start
by showing how an abstract integration by parts formula leads to explicit
expressions for the densities and their derivatives.
Let us introduce some notation. Multi-indices of dimension r are denoted
by = (
1
, . . . ,
r
) 1, . . . , n
r
, and we set [[ =

r
i=1
i
. For any dier-
entiable real valued function dened on R
n
, we denote by
the partial
derivative
||
1
,...,r
. If [[ = 0, we set
= , by convention.
Denition 2.1 Let F be a R
n
-valued random vector and G be an integrable
random variable dened on some probability space (, T, P). Let be a
multi-index. The pair F, G satises an integration by parts formula of degree
[[ if there exists a random variable H
(F, G) L
1
() such that
E
_
(
)(F)G
_
= E
_
(F)H
(F, G)
_
, (2.1)
for any (
b
(R
n
).
The property expressed in (2.1) is recursive in the following sense. Let =
(, ), with = (
1
, . . . ,
a
), = (
1
, . . . ,
b
). Then
E
_
(
)(F)G
_
= E
_
(
)(F)H
(F, G)
_
= E
_
(F)H
(F, H
(F, G))
_
= E
_
(F)H
(F, G)
_
.
7
The interest of this denition in connection with the study of probability
laws can be deduced from the next result.
Proposition 2.1 1. Assume that (2.1) holds for = (1, . . . , 1) and G =
1. Then the probability law of F has a density p(x) with respect to the
Lebesgue measure on R
n
. Moreover,
p(x) = E
_
1 1
(x<F)
H
(1,...,1)
(F, 1)
_
. (2.2)
In particular, p is continuous and bounded.
2. Assume that for any multi-index the formula (2.1) holds true with
G = 1. Then p (
||
(R
n
) and
p(x) = (1)
||
E
_
1 1
(x<F)
H
+1
(F, 1)
_
, (2.3)
where + 1 := (
1
+ 1, . . . ,
d
+ 1).
Proof: We start by giving a non rigorous argument for part 1. By (2.1) we
have
E
_
(
1,...,1
1 1
[0,)
)(F x)
_
= E
_
1 1
[0,)
(F x)H
(1,...,1)
(F, 1)
_
,
But
1,...,1
1 1
[0,)
=
0
, where the latter stands for the delta Dirac function at
zero, and the equality is understood in the sense of distributions. Moreover,
at least at a heuristically level, p(x) = E
_
0
(F x)
_
(see [79] for a proof),
consequently
p(x) = E
_
1 1
[0,)
(F x)H
(1,...,1)
(F, 1)
_
,
Let us be more rigorous. Fix f (
0
(R
n
) and set (x) =
_
x
1

_
xn
f(y)dy.
Fubinis theorem yields
E
_
f(F)
_
= E ((
1,...,1
)(F)) = E
_
(F)H
(1,...,1)
(F, 1)
_
= E
__
R
n
1 1
(xF)
f(x)dx)H
(1,...,1)
(F, 1)dx
_
=
_
R
n
f(x)E
_
1 1
(xF)
H
(1,...,1)
(F, 1)
_
dx.
Let B be a bounded Borel set of R
n
. Consider a sequence of functions
f
n
(
0
(R
n
) converging pointwise to 1 1
B
. Owing to the previous identities
(applied to f
n
) and Lebesgue bounded convergence we obtain
E
_
1 1
B
(F)
_
=
_
R
n
1 1
B
(x)E
_
1 1
(xF)
H
(1,...,1)
(F, 1)
_
dx. (2.4)
8
Hence the law of F is absolutely continuous and its density is given by (2.2).
Since H
(1,...,1)
(F, 1) is assumed to be in L
1
(), formula (2.2) implies the con-
tinuity of p, by bounded convergence. This nishes the proof of part 1.
The proof of part 2 is done recursively. For the sake of simplicity, we shall
only give the details of the rst iteration for the multi-index = (1, . . . , 1).
Let f (
0
(R
n
), (x) =
_
x
1

_
xn
f(y)dy, (x) =
_
x
1

_
xn
(y)dy.
By assumption,
E
_
f(F)
_
= E
_
(F)H
(1,...,1)
(F, 1)
_
= E
_
(F)H
(1, ,1)
(F, H
(1,...,1)
(F, 1))
_
= E
_
(F)H
(2,...,2)
(F, 1)
_
.
Fubinis Theorem yields
E
_
(F)H
(2,...,2)
(F, 1)
_
= E
_
_
F
1
dy
1

_
Fn
dy
n
__
y
1
dz
1

_
yn
dz
n
f(z)
_
H
(2,...,2)
(F, 1)
_
= E
_
_
F
1
dz
1

_
Fn
dz
n
f(z)
_
F
1
z
1
dy
1

_
Fn
zn
dy
n
H
(2,...,2)
(F, 1)
_
=
_
R
n
dzf(z)E
_
n
i=1
(F
i
z
i
)
+
H
(2,...,2)
(F, 1)
_
.
This shows that the density of F is given by
p(x) = E
_
n
i=1
(F
i
x
i
)
+
H
(2,...,2)
(F, 1)
_
,
using a limit argument, as in the rst part of the proof. The function
x
n
i=1
(F
i
x
i
)
+
is dierentiable, except when x
i
= F
i
for some
i = 1, . . . , n, which happens with probability zero, since F is absolutely
continuous. Therefore by bounded convergence
(1,...,1)
p(x) = (1)
n
E
_
1 1
[x,)
(F)H
(2,...,2)
(F, 1)).
Remark 2.1 The conclusion in part 2 of the preceding Proposition is quite

easy to understand by formal arguments. Indeed, roughly speaking the func-
tion in (2.1) should be such that its derivative
is the delta Dirac function
0
. Since taking primitives makes functions smoother, the higher [[ is, the
smoother should be. Thus, having (2.1) for any multi-index yields innite
dierentiability for p(x) = E
_
0
(F x)
_
.
9
Remark 2.2 Assume that (2.1) holds for = (1, . . . , 1) and a positive,
integrable random variable G. By considering the measure dQ = GdP, and
with a similar proof as for the rst statement of Proposition 2.1, we conclude
that the measure Q
1
F is absolutely continuous with respect to the Lebesgue
measure and its density p is given by
p(x) = E
_
1 1
(xF)
H
(1,...,1)
(F, G)
_
.
2.2 Malliavins results
We now give Malliavins criteria for the existence of density (see [35]). To
better understand the assumption, let us explore rst the one-dimensional
case.
Consider a nite measure on R. Assume that for every function (
0
(R)
there exists a positive constants C, not depending on , such that
_
R
C[[[[
.
Dene
a,b
(x) =
_
_
0 if x a
xa
ba
if a < x < b
1 if x b,
(2.5)
< a < b < +. By approximating
a,b
by a sequence of functions in
(
0
(R) we obtain
([a, b]) C(b a).
Since this holds for any such a < b, it follows that is absolutely continuous
with respect to the Lebesgue measure.
Malliavin proved that the same result holds true in dimension n > 1 as is
stated in the next proposition
Proposition 2.2 Let be a nite measure on R
n
. Assume that for any i
1, 2, . . . , n and every function (
0
(R
n
), there exist positive constants
C
i
, not depending on , such that
_
R
i
d
C
i
[[[[
. (2.6)
Then is absolutely continuous with respect to the Lebesgue measure and the
density belongs to L
n
n1
.
10
When applying this proposition to the law of a random vector F, we have
the following particular statement:
Proposition 2.3 Assume that for any i 1, 2, . . . , n and every function
(
0
(R
n
), there exist positive constants C
i
, not depending on , such that
[E((
i
)(F))[ C
i
[[[[
. (2.7)
Then the law of F has a density.
In [35], the density obtained in the preceding theorem is proved to be in L
1
;
however in a remark the improvement to L
n
n1
is mentioned and a hint for
the proof is provided. We prove Proposition 2.2 following [46] which takes
into account Malliavins remark.
Proof: Consider an approximation of the identity on R
n
, for example
(x) = (2)
n
2
exp
_
[x[
2
2
_
.
Consider also functions c
M
, M 1, belonging to (
0
(R
n
), 0 c
M
1, such
that
c
M
(x) =
_
_
_
1 if [x[ M
0 if [x[ M + 1
and with partial derivatives uniformly bounded, independently on M. The
functions c
M
(
) clearly belong to (
0
(R
n
) and give an approximation
of . Then, by Gagliardo-Nirenberg inequality (see a note at the end of this
lecture)
|c
M
(
)|
L
n
n1

n
i=1
|
i
(c
M
(
))|
1
n
L
1
.
We next prove that he right-hand side of this inequality is bounded. For this,
we notice that assumption (2.6) implies that the functional
(
0
(R
n
)
_
R
n
i
d
is linear and continuous and therefore it denes a signed measure with nite
total mass (see for instance [32], page 82). We shall denote by
i
, i = 1, . . . , n
11
this measure. Then,
|
i
(c
M
(
))|
L
1

_
R
n
c
M
(x)
_
R
n
(x y)(dy)
dx
+
_
R
n
[
i
c
M
(x)[
_
R
n
(x y)(dy)
dx
_
R
n
_
R
n
(x y)
i
(dy)
dx
+
_
R
n
[
i
c
M
(x)[
_
R
n
(x y)(dy)
dx.
By applying Fubinis theorem, and because of the choice of
, it is easy to
check that each one of the two last terms is bounded by a nite constant,
independent of M and . As a consequence, the set of functions c
M
(
), M 1, > 0 is bounded in L
n
n1
. By using the weak compactness of the
unit ball of L
n
n1
(Alouglus theorem), we obtain that has a density and it
belongs to L
n
n1
.
The next result (see [74]) gives sucient conditions on ensuring smoothness
of the density with respect to the Lebesgue measure.
Proposition 2.4 Let be a nite measure on R
n
. Assume that for any
multi-index and every function (
0
(R
n
) there exist positive constants
C
not depending on such that
_
R
n
||
. (2.8)
Then possesses a density which is a (
function.
When particularising to the law of a random vector F, condition (2.8)
clearly reads
[E ((
) (F))[ C
||
. (2.9)
Remark 2.3 When checking (2.6), (2.8), we have to get rid of the deriva-
tives
i
,
and thus one naturally thinks of an integration by parts procedure.

Some comments:
12
1. Let n = 1. The assumption in part 1) of Proposition 2.1 implies (2.6).
However, for n > 1, both hypotheses are not comparable. The conclu-
sion in the former Proposition gives more information on the density
than in Proposition 2.4.
2. Let n > 1. Assume that (2.1) holds for any multi-index with [[ = 1.
Then, by the recursivity of the integration by parts formula, we obtain
the validity of (2.1) for = (1, , 1).
3. Since the random variable H
(F, G) in (2.1) belongs to L

1
(), the iden-
tity (2.1) with G = 1 clearly implies (2.9). Therefore the assumption
in part 2 of Proposition 2.1 is stronger than in Proposition 2.4 but the
conclusion more precise too.
Annex
Gagliardo-Nirenberg inequality
Let f (
0
(R
n
), then
|f|
L
n
n1

n
i=1
|
i
f|
1
n
L
1
.
For a proof, we refer the reader to [73], page 129.
13
3 Stochastic calculus of variations on an ab-
stract Wiener space
This lecture is devoted to introduce the main ingredients of Malliavin calcu-
lus: the derivative, divergence and Ornstein Uhlenbeck operators, and rules
of calculus for them.
3.1 Finite dimensional Gaussian calculus
To start with, we shall consider a very particular situation. Let
m
be the
standard Gaussian measure on R
m
:
m
(dx) = (2)
m
2
exp
_
[x[
2
2
_
dx.
Consider the probability space (R
m
, B(R
m
),
m
). Here ndimensional ran-
dom vectors are functions F : R
m
R
n
. We shall denote by E
m
the expec-
tation with respect to the measure
m
.
The purpose is to nd sucient conditions ensuring absolute continuity with
respect to the Lebesgue measure on R
n
of the probability law of F, and the
smoothness of the density. More precisely, we would like to obtain expressions
such as (2.1). This will be done in a quite sophisticated way, as a prelude to
the methodology we shall apply in the innite dimensional case. For the sake
of simplicity, we will only deal with multi-indices of order one. Hence, we
shall only address the problem of existence of density for the random vector
F. As references of this section we mention [35], [74], [54].
The Ornstein-Uhlenbeck operator
Let (B
t
, t 0) be a standard R
m
-valued Brownian motion. Consider the
linear stochastic dierential equation
dX
t
(x) =
2dB
t
X
t
(x)dt, (3.1)
with initial condition x R
m
. Using It os formula, it is immediate to check
that the solution to (3.1) is given by
X
t
(x) = exp(t)x +
2
_
t
0
exp((t s))dB
s
. (3.2)
The operator semigroup associated with the Markov process solution to (3.1)
is dened by P
t
f(x) = E
m
f(X
t
(x)), for a suitable class of functions f. Notice
14
that the law of Z
t
(x) =
2
_
t
0
exp((t s))dB
s
is Gaussian, mean zero and
with covariance given by (1 exp(2t))I. This fact, together with (3.2),
yields
P
t
f(x) =
_
R
m
f(exp(t)x +
_
1 exp(2t)y)
m
(dy). (3.3)
We are going to identify the class of functions f for which the right hand-side
of (3.3) makes sense, and we will also compute the innitesimal generator of
the semigroup. This is the Ornstein-Uhlenbeck operator in nite dimension.
Lemma 3.1 The semigroup generated by (X
t
, t 0) satises the following:
1. (P
t
, t 0) is a contraction semigroup on L
p
(R
m
;
m
), for all p 1.
2. For any f (
2
b
(R
m
) and every x R
m
,
lim
t0
1
t
_
P
t
f(x) f(x)
_
= L
m
f(x), (3.4)
where L
m
= x =

m
i=1
2
x
i
x
i

m
i=1
x
i
x
i
.
3. (P
t
, t 0) is a symmetric semigroup on L
2
(R
m
;
m
).
Proof. 1) Let X and Y be independent random variables with law
m
. The
law of exp(t)X+
_
1 exp(2t)Y is also
m
. Therefore, (
m
m
)T
1
=
m
, where T(x, y) = exp(t)x +
_
1 exp(2t)y. Then, the denition of
P
t
f and this remark yields
_
R
m
[P
t
f(x)[
p
m
(dx)
_
R
m
_
R
m
[f(T(x, y))[
p
m
(dx)
m
(dy)
=
_
R
m
[f(x)[
p
m
(dx).
2) This follows very easily by applying the Ito formula to the process f(X
t
).
3) We must prove that for any g L
2
(R
m
;
m
),
_
R
m
P
t
f(x)g(x)
m
(dx) =
_
R
m
f(x)P
t
g(x)
m
(dx),
or equivalently
E
m
_
f(exp(t)X +
_
1 exp(2t)Y )g(X)
_
= E
m
_
g(exp(t)X +
_
1 exp(2t)Y )f(X)
_
,
15
where X and Y are two independent standard Gaussian variables. This
follows easily from the fact that the vector (Z, X), where
Z = exp(t)X +
_
1 exp(2t)Y,
has a Gaussian distribution and each component has law
m
.
The adjoint of the dierential
We are looking for an operator
m
which is the adjoint of the gradient in
L
2
(R
m
,
m
). Such an operator must act on functions : R
m
R
m
, take
values in the space of real-valued functions dened on R
m
, and satisfy the
duality relation
E
m
f, ) = E
m
(f
m
), (3.5)
where , ) denotes the inner product in R
m
. Let = (
1
, . . . ,
m
). Assume
rst that the functions f,
i
: R
m
R, i = 1, . . . , m, are continuously
dierentiable. An usual integration by parts yields
E
m
f, ) =
m
i=1
_
R
m
i
f(x)
i
(x)
m
(dx)
=
m
i=1
_
R
m
f(x)
_
x
i
i
(x)
i
i
(x)
_
m
(dx).
Hence
m
=
m
i=1
(x
i
i
). (3.6)
Notice that on (
2
(R
m
),
m
= L
m
.
The denition (3.6) yields the next useful formula
m
(fg) = f, g) fL
m
g, (3.7)
for any f, g smooth enough.
Example 3.1 Let n 1; consider the Hermite polynomial of degree n on
R, which is dened by
H
n
(x) =
(1)
n
n!
exp
_
x
2
2
_
d
n
dx
n
exp
_
x
2
2
_
.
16
The operator
1
satises
1
H
n
(x) = xH
n
(x) H
n
(x) = xH
n
(x) H
n1
(x)
= (n + 1)H
n+1
(x).
Therefore it increases the order of a Hermite polynomial by one.
An integration by parts formula
Using the operators ,
m
and L
m
, and for random vectors F = (F
1
, . . . , F
n
)
regular enough (meaning that all the dierentiations performed throughout
this section make sense), we are going to establish an integration by parts
formula of the type (2.1).
We start by introducing the nite dimensional Malliavin matrix, also termed
covariance matrix, as follows:
A(x) =
_
F
i
(x), F
j
(x))
_
1i,jn
.
Notice that by its very denition, A(x) is a symmetric, non-negative denite
matrix, for any x R
m
. Clearly A(x) = DF(x)DF(x)
T
, where DF(x) is the
Jacobian matrix at x and the superscript T means the transpose.
Let us consider a function (
1
(R
n
), and perform some computations
showing that (
i
)(F), i = 1, . . . , n, satises a linear system of equations.
Indeed, by the chain rule,
_
_
(F(x)
_
, F
l
(x)
_
=
m
j=1
n
k=1
(
k
)(F(x))
j
F
k
(x)
j
F
l
(x)
=
n
k=1
F
l
(x), F
k
(x))(
k
)(F(x))
=
_
A(x)(
T
)(F(x))
_
l
, (3.8)
l = 1, . . . , n. Assume that the matrix A(x) is inversible
m
-almost every-
where. Then one gets
(
i
)(F) =
n
l=1
_
_
(F(x))
_
, A
1
i,l
(x)F
l
(x)
_
, (3.9)
for every i = 1, . . . , n,
m
-almost everywhere.
17
Taking expectations and using (3.7), (3.9) yields
E
m
_
(
i
)(F)
_
=
n
l=1
E
m
_
(F)
_
, A
1
i,l
F
l
)
=
n
l=1
E
m
_
(F)
m
(A
1
i,l
F
l
)
_
=
n
l=1
E
m
_
(F)
_
A
1
i,l
, F
l
) A
1
i,l
L
m
F
l
_
. (3.10)
Hence we can write
E
m
_
i
(F)
_
= E
m
_
(F)H
i
(F, 1)
_
, (3.11)
with
H
i
(F, 1) =
n
l=1
m
(A
1
i.l
F
l
)
=
n
l=1
_
A
1
i,l
, F
l
) + A
1
i,l
L
m
F
l
_
. (3.12)
This is an integration by parts formula, as in Denition 2.1, for multi-indices
of length one.
For multi-indices of length greater than one, things are a little bit more
dicult; essentialy the same ideas would lead to the analogue of formula
(2.1) with = (1, , 1) and G = 1.
The preceding discussion and Proposition 2.2 yield the following result.
Proposition 3.1 Let F be continuous dierentiable up to the second order
such that F and its partial derivatives up to order two belong to L
p
(R
m
;
m
),
for any p [1, [. Assume that:
(1) The matrix A(x) is invertible for every x R
m
,
m
-almost everywhere.
(2) det A
1
L
p
(R
m
;
m
), (det A
1
) L
r
(R
m
;
m
), for some p, r
(1, ).
Then the law of F is absolutely continuous with respect to Lebesgue measure
on R
n
.
18
Proof: The assumptions on F and in (2) show that
C
i
:=
n
l=1
E
m
_
A
1
i,l
, F
l
)
A
1
i,l
L
m
F
l
_
is nite. Therefore, one can take expectations on both sides of (3.9). By
(3.10), it follows that
[E
m
(
i
)(F)[ C
i
[[[[
.
This nishes the proof of the Proposition.
Remark 3.1 The proof of smoothness properties for the density requires an
iteration of the procedure presented in the proof of Proposition 3.1.
3.2 Innite dimensional framework
This section is devoted to describe an innite dimensional analogue of the
probability space (R
m
, B(R
m
),
m
). We start by introducing a family of Gaus-
sian random variables. Let H be a real separable Hilbert space. Denote by
[[[[
H
and , )
H
the norm and the inner product on H, respectively. There ex-
ist a probability space (, (, ) and a family / =
_
W(h), h H
_
of random
variables dened on this space, such that the mapping h W(h) is linear,
each W(h) is Gaussian, EW(h) = 0 and E
_
W(h
1
)W(h
2
)
_
= h
1
, h
2
)
H
(see
for instance, [63], Chapter 1, Proposition 1.3). Such family is constructed
as follows. Let (e
n
, n 1) be a complete orthonormal system in H. Con-
sider the canonical probability space (, (, P) associated with a sequence
(g
n
, n 1) of standard independent Gaussian random variables. That is,
= R
N
, ( = B
N
, =
N
1
where, according to the notations of Chapter
1,
1
denotes the standard Gaussian measure on R. For each h H, the
series

n1
h, e
n
)
H
g
n
converges in L
2
(, (, ) to a random variable that we
denote by W(h). Notice that the set / is a closed Gaussian subspace of
L
2
() that is isometric to H. In the sequel, we will replace ( by the -eld
generated by /.
19
Examples
White Noise
Let H = L
2
(A, /, m), where (A, /, m) is a separable -nite, atomless
measure space. For any F / with m(F) < , set W(F) = W(1 1
F
).
The stochastic Gaussian process
_
W(F), F /, m(F) <
_
is such
that W(F) and W(G) are independent if F and G are disjoint sets; in
this case, W(F G) = W(F) + W(G). Following [78], we call such
a process a white noise based on m. Then the random variable W(h)
coincides with the rst order It o stochastic integral
_
A
h(t)W(dt) with
respect to W (see [22]).
If A = R
+
, / is the -eld of Borel sets of R
+
and m is the Lebesgue
measure on R
+
, then W(h) =
_
0
h(t)dW
t
-the It o integral of a deter-
ministic integrand- where
_
W
t
, t 0
_
is a standard Brownian motion.
Correlated Noise
Fix d 1 and denote by T(R
d
) the set of Schwartz test functions in
R
d
, that is, functions of (
(R
d
) with compact support. Let be a
non-negative measure, of non-negative type, and tempered (see [71] for
the denitions of these notions).
For , in T(R
d
), dene
I(, ) =
_
R
d
(dx)
_

_
(x),
where

(x) = (x) and the symbol denotes the convolution
operator. According to [71], Chap. VII, Theorème XVII, the mea-
sure is symmetric. Hence the functional I denes an inner product
on T(R
d
) T(R
d
). Moreover, there exists a non-negative tempered
measure on R
d
whose Fourier transform is (see [71], Chap. VII,
Theorème XVIII). Therefore,
I(, ) =
_
R
d
(d)T()T(). (3.13)
There is a natural Hilbert space associated with the covariance func-
tional I. Indeed, let c be the inner-product space consisting of functions
T(R
d
), endowed with the inner-product
, )
E
:= I(, ) =
_
R
d
(d)T()T(). (3.14)
20
Let H denote the completion of (c, , )
E
). Elements of the Gaussian
family / = (W(h), h H) satisfy
E (W(h
1
)W(h
2
)) =
_
R
d
(dx)
_
h
1
h
2
_
(x),
h
1
, h
2
H.
The family
_
W(1 1
F
), F B
b
(R
d
)
_
can be rigourously dened by approx-
imating 1 1
F
by a sequence of elements in H. It is called a colored noise
with covariance .
We notice that for =
0
,
, )
E
= , )
L
2
(R
d
)
.
White-Correlated Noise
In the theory of SPDEs, stochastic processes are usually indexed by
(t, x) R
+
R
d
and the role of t and x is dierent -time and space,
respectively. Sometimes the driving noise of the equation is white in
time and in space (see the example termed white noise before). Another
important class of examples are based on noises white in time and
correlated in space. We give here the background for this type of noise.
With the same notations and hypotheses as in the preceding example,
we consider functions , T(R
d+1
) and dene
J(, ) =
_
R
+
ds
_
R
d
(dx)
_

_
(x). (3.15)
By the above quoted result in [71], J denes an inner product. Set
H
T
= L
2
([0, T]; H). Elements of the Gaussian family / = (W(h), h
H
T
) satisfy
E (W(h
1
)W(h
2
)) =
_
R
+
ds
_
R
d
(dx)
_
h
1
(s)
h
2
(s)
_
(x), (3.16)
h
1
, h
2
H
T
. We can then consider
_
W(t, A), t [0, [, A B
b
(R
d
)
_
,
where W(t, A) := W(1 1
[0,t]
1 1
A
) is dened by an approximation proce-
dure. This family is called a Gaussian noise, white in time and station-
ary correlated (or coloured) in space.
21
3.3 The derivative and divergence operators
Throughout this section, we consider the probability space (, (, ), dened
in section 3.2 and a Gaussian family / = (W(h), h H), as has been
described before.
There are several possibilities to dene the Malliavin derivative for random
vectors F : R
n
. Here we shall follow the analytic approach which roughly
speaking consists of an extension by a limiting procedure of dierentiation
in R
m
.
To start with, we consider nite-dimensional objects, termed smooth func-
tionals. They are random variables of the type
F = f(W(h
1
), . . . , W(h
n
)), (3.17)
with h
1
, . . . , h
n
H and f : R
n
R regular enough.
Dierent choices of regularity of f lead to dierent classes of smooth function-
als. For example, if f (
p
(R
n
), the set of innitely dierentiable functions
such that f and its partial derivatives of any order have polynomial growth,
we denote the corresponding class of smooth functionals by o; if f (
b
(R
n
),
the set of innitely dierentiable functions such that f and its partial deriva-
tives of any order are bounded, we denote by o
b
the corresponding class. If
f is a polynomial, then smooth functionals are denoted by T. Clearly T o
and o
b
o.
We dene the operator D on o (on T, on o
b
) with values on the set of
H-valued random variables, by
DF =
n
i=1
i
f
_
W(h
1
), . . . , W(h
n
)
_
h
i
. (3.18)
Fix h H and set
F
h
= f
_
W(h
1
) + h, h
1
)
H
, . . . , W(h
n
) + h, h
n
)
H
_
,
> 0. Then it is immediate to check that DF, h)
H
=
d
d
F
h
=0
. Therefore,
for smooth functionals, D is a directional derivative. It is also routine to
prove that if F, G are smooth functionals then, D(FG) = FDG + GDF.
Our next aim is to prove that D is closable as an operator from L
p
() to
L
p
(; H), for any p 1. That is, if F
n
, n 1 o is a sequence converging
to zero in L
p
() and the sequence DF
n
, n 1 converges to G in L
p
(; H),
then G = 0. The tool for arguing this is a simple version of an integration
by parts formula proved in the next lemma.
22
Lemma 3.2 For any F o, h H, we have
E
_
DF, h)
H
_
= E
_
FW(h)
_
. (3.19)
Proof: Without loss of generality, we shall assume that
F = f
_
W(h
1
), . . . , W(h
n
)
_
,
where h
1
, . . . , h
n
are orthonormal elements of H and h
1
= h. Then
E
_
DF, h)
H
_
=
_
R
n
1
f(x)
n
(dx)
=
_
R
n
f(x)x
1
n
(dx) = E
_
FW(h
1
)
_
.
The proof is complete.
Formula (3.19) is a statement about duality between the operator D and a
integral with respect to W.
Let F, G o. Applying formula (3.19) to the smooth functional FG yields
E
_
GDF, h)
H
_
= E
_
FDG, h)
H
_
+ E
_
FGW(h)
_
. (3.20)
With this result, we can now prove that D is closable. Indeed, consider a
sequence F
n
, n 1 o satisfying the properties stated above. Let h H
and F o
b
be such that FW(h) is bounded. Using (3.20), we obtain
E
_
FG, h)
H
_
= lim
n
E
_
FDF
n
, h)
H
_
= lim
n
E
_
F
n
DF, h)
H
+ F
n
FW(h)
_
= 0.
Indeed, the sequence (F
n
, n 1) converges to zero in L
p
and DF, h)
H
,
FW(h) are bounded. This yields G = 0.
Let D
1,p
be the closure of the set o with respect to the seminorm
[[F[[
1,p
=
_
E([F[
p
) + E([[DF[[
p
H
)
_1
p
. (3.21)
The set D
1,p
is the domain of the operator D in L
p
(). Notice that D
1,p
is
dense in L
p
(). The above procedure can be iterated as follows. Clearly, one
can recursively dene the operator D
k
, k N, on the set o. This yields an
23
H
k
-valued random vector. As for D, one proves that D
k
is closable. Then
we can introduce the seminorms
[[F[[
k,p
=
_
E([F[
p
) +
k
j=1
E([[D
j
F[[
p
H
j
_1
p
, (3.22)
p [1, ), and dene the sets D
k,p
to be the closure of o with respect to the
seminorm (3.22). Notice that by denition, D
j,q
D
k,p
for k j and p q.
By convention D
0,p
= L
p
() and | |
0,p
= | |
p
, the usual norm in L
p
().
We now introduce the divergence operator, which corresponds to the innite
dimensional analogue of the operator
m
dened in (3.6).
For this, we notice that the Malliavin derivative D is an unbounded operator
from L
2
() into L
2
(; H). Moreover, the domain of D in L
2
(), denoted by
D
1,2
, is dense in L
2
(). Then, by an standard procedure (see for instance
[80]) one can dene the adjoint of D, that we shall denote by .
Indeed, the domain of the adjoint, denoted by Dom, is the set of random
vectors u L
2
(; H) such that for any F D
1,2
,
E
_
DF, u)
H
_
c[[F[[
2
,
where c is a constant depending on u. If u Dom, then u is the element
of L
2
() characterized by the identity
E
_
F(u)
_
= E
_
DF, u)
H
_
, (3.23)
for all F D
1,2
.
Equation (3.23) expresses the duality between D and . It is called the
integration by parts formula (compare with (3.19)). The analogy between
and
m
dened in (3.6) can be easily established on nite dimensional random
vectors of L
2
(; H), as follows.
Let o
H
be the set of random vectors of the type
u =
n
j=1
F
j
h
j
,
where F
j
o, h
j
H, j = 1, . . . , n. Let us prove that u Dom.
24
Indeed, owing to formula (3.20), for any F o,
E
_
DF, u)
H
_
j=1
E
_
F
j
DF, h
j
)
H
_
j=1
_
E
_
FDF
j
, h
j
)
H
E
_
FF
j
W(h
j
)
_
_
C[[F[[
2
.
Hence u Dom. Moreover, by the same computations,
(u) =
n
j=1
F
j
W(h
j
)
n
j=1
DF
j
, h
j
)
H
. (3.24)
Hence, the gradient operator in the nite dimensional case is replaced by
the Malliavin directional derivative, and the coordinate variables x
j
by the
random coordinates W(h
j
).
Remark 3.2 The divergence operator coincides with a stochastic integral in-
troduced by Skorohod in [72]. This integral allows for non adapted integrands.
It is actually an extension of Itos integral. Readers interested in this topic
are suggested to consult the monographs [46] and [47].
3.4 Some calculus
In this section we prove several basic rules of calculus for the two operators
dened so far. The rst result is a chain rule.
Proposition 3.2 Let : R
m
R be a continuously dierentiable function
with bounded partial derivatives. Let F = (F
1
, . . . , F
m
) be a random vector
whose components belong to D
1,p
for some p 1. Then (F) D
1,p
and
D((F)) =
m
i=1
i
(F)DF
i
. (3.25)
The proof of this result is straightforward. First, we assume that F o; in
this case, formula (3.25) follows by the classical rules of dierential calculus.
The proof for F D
1,p
is done by an approximation procedure.
The preceding chain rule can be extended to Lipschitz functions . The tool
for this improvement is given in the next Proposition. For its proof, we use
the Wiener chaos decomposition of L
2
(, () (see [22]).
25
Proposition 3.3 Let (F
n
, n 1) be a sequence of random variables in D
1,2
converging to F in L
2
() and such that
sup
n
E
_
[[DF
n
[[
2
H
_
< . (3.26)
Then F belongs to D
1,2
and the sequence of derivatives (DF
n
, n 1) con-
verges to DF in the weak topology of L
2
(; H).
Proof: The assumption (3.26) yields the existence of a subsequence (F
n
k
, k
1) such that the corresponding sequence of derivatives (DF
n
k
, k 1) con-
verges in the weak topology of L
2
(; H) to some element L
2
(; H). In
particular, for any G L
2
(; H), lim
k
E(DF
n
k
, J
l
G)
H
) = E(, J
l
G)
H
),
where J
l
denotes the projection on the l-th Wiener chaos H
l
H, l 0.
The integration by parts formula and the convergence of the sequence
(F
n
, n 1) yield
lim
k
E(DF
n
k
, J
l
G)
H
) = lim
k
E(F
n
k
(J
l
G))
= E(F(J
l
G)) = E(DF, J
l
G)
H
).
Hence, every weakly convergent subsequence of DF
n
, n 1, must converge to
the same limit and the whole sequence converges. Moreover, the random vec-
tors and DF have the same projection on each Wiener chaos; consequently,
= DF as elements of L
2
(; H).
Proposition 3.4 Let : R
m
R be a globally Lipschitz function and F =
(F
1
, . . . , F
m
) be a random vector with components in D
1,2
. Then (F) D
1,2
.
Moreover, there exists a bounded random vector G = (G
1
, , G
m
) such that
D((F)) =
m
i=1
G
i
DF
i
. (3.27)
Proof: The idea of the proof is as follows. First we regularize the function
by convolution with an approximation of the identity. We apply Proposition
3.2 to the sequence obtained in this way. Then we conclude by means of
Proposition 3.3.
More explicitely, let (
0
(R
m
) be nonnegative, with compact support and
_
R
m (x)dx = 1. Dene
n
(x) = n
m
(nx) and
n
=
n
. It is well known
26
that
n
(
and that the sequence (

n
, n 1) converges to uniformly.
In addition
n
is bounded by the Lipschitz constant of .
Proposition 3.2 yields,
D(
n
(F)) =
m
i=1
n
(F)DF
i
. (3.28)
Now we apply Proposition 3.3 to the sequence F
n
=
n
(F). It is clear that
lim
n
n
(F) = (F) in L
2
(). Moreover, by the boundedness property
on
n
, the sequence D(
n
(F)), n 1, is bounded in L
2
(; H). Hence
(F) D
1,2
and D(
n
(F)), n 1 converges in the weak topology of L
2
(; H)
to D((F)). Since the sequence (
n
(F), n 1), is bounded, a.s., there
exists a subsequence that converges to some random bounded vector G in
the weak topology of L
2
(; H). By passing to the limit as n the
equality (3.28), we nish the proof of the Proposition.
Remark 3.3 Let (
p
(R
m
) and F = (F
1
, . . . , F
m
) be a random vector
whose components belong to
p[1,)
D
1,p
. Then the conclusion of Proposition
3.2 also holds. Moreover, (F)
p[1,)
D
1,p
.
The chain rule (3.25) can be iterated; we obtain Leibnizs rule for Malliavins
derivatives. For example, if F is one-dimensional (m = 1) then
D
k
((F)) =
k
l=1
P
l
c
l
(l)
(F)
l
i=1
D
|p
i
|
F, (3.29)
where T
l
denotes the set of partitions of 1, , k consisting of l disjoint
sets p
1
, , p
l
, l = 1, , k, [p
i
[ denotes the cardinal of the set p
i
and c
l
are
positive coecients.
For any F DomD, h H we set D
h
F = DF, h)
H
. The next propositions
provide important calculus rules.
Proposition 3.5 Let u o
H
. Then
D
h
((u)) = u, h)
H
+ (D
h
u). (3.30)
27
Proof: Fix u =

n
j=1
F
j
h
j
, F
j
o, h
j
H, j = 1, . . . , n. By virtue of (3.24),
we have
D
h
((u)) =
n
j=1
_
(D
h
F
j
)W(h
j
) + F
j
h
j
, h) D(D
h
F
j
), h
j
)
H
_
.
Notice that by (3.24),
(D
h
u) =
n
j=1
_
(D
h
F
j
)W(h
j
) D(D
h
F
j
), h
j
)
H
_
. (3.31)
Hence (3.30) holds.
The next result is an isometry property for the integral dened by the operator
.
Proposition 3.6 Let u, v D
1,2
(H). Then
E
_
(u)(v)
_
= E(u, v)
H
) + E(tr(Du Dv)), (3.32)
where tr(DuDv) =

i,j=1
D
e
j
u, e
i
)
H
D
e
i
v, e
j
)
H
, with (e
i
, i 1) a complete
orthonormal system in H.
Consequently, if u D
1,2
(H) then u Dom and
E
_
(u)
_
2
E([[u[[
2
H
) + E([[Du[[
2
HH
). (3.33)
Proof: Assume rst that u, v o
H
. The duality relation between D and
yields
E((u)(v)) = E
_
v, D((u)))
H
_
= E
_

i=1
v, e
i
)
H
D
e
i
((u))
_
.
By virtue of (3.30), this last expression is equal to
E
_

i=1
v, e
i
)
H
(u, e
i
)
H
+ (D
e
i
u)
_
.
28
The duality relation between D and implies
E
_
v, e
i
)
H
(D
e
i
u)
_
= E
_
D
e
i
u, Dv, e
i
)
H
)
H
_
=
j=1
E
_
D
e
i
u, e
j
)
H
e
j
, Dv, e
i
)
H
_
=
j=1
E
_
D
e
i
u, e
j
)
H
D
e
j
v, e
i
)
H
_
.
This establishes (3.32). Taking u = v and applying Schwarz inequality yield
(3.33).
The extension to u, v D
1,2
(H) is done by a limit procedure.
Remark 3.4 Proposition 3.6 can be used to extend the validity of (3.30) to
u D
2,2
(H). Indeed, let u
n
o
H
be a sequence of processes converging
to u in D
2,2
(H). Formula (3.30) holds true for u
n
. We can take limits in
L
2
(; H) as n tends to innity and conclude, because the operators D and
are closed.
Proposition 3.7 Let F D
1,2
, u Dom, Fu L
2
(; H). If F(u)
DF, u)
H
L
2
(), then
(Fu) = F(u) DF, u)
H
. (3.34)
Proof: Assume rst that F o and u o
H
. Let G o. Then by the duality
relation between D and and the calculus rules on the derivatives, we have
E(G(Fu)) = E(DG, Fu)
H
)
= E(u, (D(FG) GDF))
H
)
= E(G(F(u) u, DF)
H
)).
By the denition of the operator , (3.34) holds under the assumptions of
the proposition.
29
4 Criteria for Existence and Regularity of
Densities
In lecture 1, we have shown how an integration by parts formula (see Def-
inition 2.1) leads to results on densities of probability laws. The question
we tackle in this lecture is how to derive such a formula. In particular we
will give an expression for the random variable H
(F, G). For this, we shall

apply the calculus developed in Section 3.
We consider here the probability space associated with a Gaussian family
(W(h), h H), as has been described in Section 3.2.
4.1 Existence of density
Let us start with a very simple example.
Proposition 4.1 Let F be a random variable belonging to D
1,2
. Assume that
the random variable
DF
||DF||
2
H
belongs to the domain of in L
2
(; H). Then
the law of F is absolutely continuous. Moreover, its density is given by
p(x) = E
_
1 1
(F>x)
_
DF
[[DF[[
2
H
_
_
(4.1)
and therefore it is continuous and bounded.
Proof: We will check that for any (
b
(R),
E(
(F)) = E
_
(F)
_
DF
[[DF[[
2
H
_
_
. (4.2)
Thus (2.1) holds for G = 1 with H
1
(F, 1) =
_
DF
||DF||
2
H
_
. Then the results
follow from part 1 of Proposition 2.1.
The chain rule of Malliavin calculus yields D((F)) =
(F)DF. Thus,
(F) =
_
D((F)),
DF
[[DF[[
2
H
_
H
.
Therefore, the integration by parts formula implies
E
_
(F)
_
= E
__
D((F)),
DF
[[DF[[
2
H
_
H
_
= E
_
(F)
_
DF
[[DF[[
2
H
__
,
30
proving (4.2).
Remark 4.1 Notice the analogy between (4.2) and the nite dimensional
formula (3.11).
Remark 4.2 Using the explicit formula (4.1) to particular examples and
L
p
() estimates of the Skorohod integral leads to interesting estimates for
the density (see for instance [47]).
Remark 4.3 In Proposition 4.1 we have established the formula
H
1
(F, 1) =
_
DF
[[DF[[
2
H
_
, (4.3)
where F : R.
For random vectors F, (n > 1), we can obtain similar results by using matrix
calculus, as it is illustrated in the next statement. In the computations,
instead of |DF|
H
, we have to deal with the Malliavin matrix, a notion given
in the next denition.
Denition 4.1 Let F : R
n
be a random vector with components F
j
D
1,2
, j = 1, . . . , n. The Malliavin matrix of F is the n n matrix, denoted
by , whose entries are the random variables
i,j
= DF
i
, DF
j
)
H
, i, j =
1, . . . , n.
Proposition 4.2 Let F : R
n
be a random vector with components
F
j
D
1,2
, j = 1, . . . , n. Assume that
(1) the Malliavin matrix is inversible, a.s.
(2) For every i, j = 1, . . . , n, the random variables (
1
)
i,j
DF
j
belong to
Dom.
Then for any function (
b
(R
n
),
E(
i
(F)) = E((F)H
i
(F, 1)), (4.4)
with
H
i
(F, 1) =
n
l=1
((
1
)
i,l
DF
l
). (4.5)
Consequently the law of F is absolutely continuous.
31
Proof: Fix (
b
(R
n
). By virtue of the chain rule, we have (F) D
1,2
and
D((F)), DF
l
)
H
=
n
k=1
k
(F)DF
k
, DF
l
)
H
=
n
k=1
k
(F)
k,l
,
l = 1, . . . , n. Since is inversible a.s., this system of linear equations in
k
(F), k = 1, . . . , n, can be solved, and
i
(F) =
n
l=1
D((F)), (
1
)
i,l
DF
l
)
H
, (4.6)
i = 1, . . . , n, a.s.
The assumption (2), the duality formula along with (4.6) yield
n
l=1
E
_
(F)
_
(
1
)
i,l
DF
l
__
=
n
l=1
E
_
D((F)), (
1
)
i,l
DF
l
)
H
_
= E
_
i
(F)
_
.
Hence (4.4), (4.5) is proved.
Notice that by assumption H
i
(F, 1) L
2
(). Thus Proposition 2.2 part 1)
yields the existence of the density.
Remark 4.4 The equalities (4.4), (4.5) give the integration by parts formula
(in the sense of Denition 2.1) for ndimensional random vectors, for multi-
indices of length one.
The assumption of part 2 of Proposition 4.2 may not be easy to check. In the
next Proposition we give a statement which is more suitable for applications.
Theorem 4.1 Let F : R
n
be a random vector satisfying the following
conditions:
(a) F
j
D
2,4
, for any j = 1, . . . , n,
32
(b) the Malliavin matrix is inversible, a.s.
Then the law of F has a density with respect to Lebesgue measure on R
n
.
Proof: As in the proof of Proposition 4.2, we obtain the system of equations
(4.6) for any function (
b
. That is,
i
(F) =
n
l=1
D((F)), (
1
)
i,l
DF
l
)
H
,
i = 1, . . . , n, a.s.
We would like to take expectations on both sides of this expression. However,
assumption (a) does not ensure the integrability of
1
. We overcome this
problem by localising (4.6), as follows.
For any natural number N 1, we dene the set
C
N
=
_
L(R
n
, R
n
) : [[[[ N, [ det [
1
N
_
.
Then we consider a nonnegative function
N
(
0
(L(R
n
, R
n
)) satisfying
(i)
N
() = 1, if C
N
,
(ii)
N
() = 0, if , C
N+1
.
From (4.6), it follows that
E
_
N
()
i
(F)
_
=
n
l=1
E
_
D((F)),
N
()DF
l
(
1
)
i,l
)
H
_
(4.7)
The random variable
N
()DF
l
(
1
)
i,l
belongs to D
1,2
(H), by assumption
(a). Consequently
N
()DF
l
(
1
)
i,l
Dom (see Proposition 3.6). Hence,
by the duality identity,
E
_
N
()
i
(F)
_
l=1
E
_
D((F)),
N
()DF
l
(
1
)
i,l
)
H
_
E
_
l=1
N
()DF
l
(
1
)
i,l
_
_
[[[[
.
Let P
N
be the nite measure on (, () absolutely continuous with respect
to P with density given by
N
(). Then, by Proposition 2.2, P
N
F
1
is
33
absolutely continuous with respect to Lebesgue measure. Therefore, for any
B B(R
n
) with Lebesgue measure equal to zero, we have
_
F
1
(B)
N
()dP = 0.
Let N . Assumption (b) implies that lim
N
N
() = 1. Hence, by
bounded convergence, we obtain P(F
1
(B)) = 0. This nishes the proof of
the Proposition.
Remark 4.5 The existence of density for the probability law of a random
vector F can be obtained under weaker assumptions than in Theorem 4.1 (or
Proposition 4.2). Indeed, Bouleau and Hirsch proved a better result using
other techniques in the more general setting of Dirichlet forms. For the sake
of completenes we give one of their statements, the most similar to Theorem
4.1, and refer the reader to [8] for complete information.
n
be a random vector satisfying the fol-
lowing conditions:
(a) F
j
D
1,2
, for any j = 1, . . . , n,
(b) the Malliavin matrix is inversible, a.s.
Then the law of F has a density with respect to the Lebesgue measure on R
n
.
4.2 Smoothness of the density
As we have seen in the rst lecture, in order to obtain regularity properties
of the density, we need an integration by parts formula for multi-indices of
order greater than one. In practice, this can be obtained recursively. In the
next proposition we give the details of such a procedure.
An integration by parts formula
n
be a random vector such that F
j
D
for any j = 1, . . . , n. Assume that

det
1

p[1,)
L
p
(). (4.8)
Then:
34
(1) det
1
D
and
1
D
(R
m
R
m
).
(2) Let G D
. For any multi-index 1, . . . , n

r
, r 1, there exists
a random variable H
(F, G) D
such that for any function

(
b
(R
n
),
E
_
(
)(F)G
_
= E
_
(F)H
(F, G)
_
. (4.9)
The random variables H
(F, G) can be dened recursively as follows:

If [[ = 1, = i, then
H
i
(F, G) =
n
l=1
(G(
1
)
i,l
DF
l
), (4.10)
and in general, for = (
1
, . . . ,
r1
,
r
),
H
(F, G) = H
r
(F, H
(
1
,...,
r1
)
(F, G)). (4.11)
Proof: Consider the sequence of random variables
_
Y
N
= (det +
1
N
)
1
, N
1
_
. Fix an arbitrary p [1, [. Assumption (4.8) clearly yields
lim
N
Y
N
= det
1
in L
p
().
We now prove the following facts:
(a) Y
N
D
, for any N 1,
(b) (D
k
Y
N
, N 1) is a Cauchy sequence in L
p
(; H
k
), for any natural
number k.
Since the operator D
k
is closed, the claim (1) will follow.
Consider the function
N
(x) = (x +
1
N
)
1
, x 0. Notice that
N
(
b
.
Then Remark 3.3 yields recursively (a). Indeed, det D
.
Let us now prove (b). The sequence of derivatives
_
(n)
N
(det ), N 1
_
is
Cauchy in L
p
(), for any p [1, ). This can be proved using (4.8) and
bounded convergence. The result now follows by expressing the dierence
D
k
Y
N
D
k
Y
M
, N, M 1, by means of Leibnizs rule (see (3.29)) and using
that det D
.
35
Once we have proved that det
1
D
, we trivially obtain
1
D
(R
m
R
m
), by a direct computation of the inverse of a matrix and using that
F
j
D
.
The proof of (4.9)(4.11) is done by induction on the order r of the multi-
index . Let r = 1. Consider the identity (4.6), multiply both sides by G
and take expectations. We obtain (4.9) and (4.10).
Assume that (4.9) holds for multi-indices of order r 1. Fix =
(
1
, . . . ,
r1
,
r
). Then,
E
_
(
)(F)G
_
= E
_
(
1
,...,
r1
)
((
r
)(F))G
_
= E
_
(
r
)(F)H
(
1
,...,
r1
)
(F, G)
_
= E
_
(F)H
r
(F, H
(
1
,...,
r1
)
(F, G)
_
.
The proof is complete.
A criterion for smooth densities

As a consequence of the preceding proposition and part 2 of Proposition 2.1
we have a criterion on smoothness of density, as follows.
Theorem 4.2 Let F : R
n
be a random vector satisfying the assump-
tions
(a) F
j
D
, for any j = 1, . . . , n,
(b) the Malliavin matrix is invertible a.s. and
det
1

p[1,)
L
p
().
Then the law of F has an innitely dierentiable density with respect to
Lebesgue measure on R
n
.
36
5 Watanabe-Sobolev Dierentiability of
SPDEs
5.1 A class of linear homogeneous SPDEs
Let L be a second order dierential operator acting on real functions dened
on [0, [R
d
. Examples of L where the results of this lecture can be applied
gather the heat operator and the wave operator. With some minor modi-
cations, the damped wave operator and some class of parabolic operators
with time and space dependent coecients could also be covered. We are
interested in SPDEs of the following type
Lu(t, x) = (u(t, x))

W(t, x) + b (u(t, x)) , (5.1)
t ]0, T], x R
d
, with suitable initial conditions. This is a Cauchy problem,
with nite time horizon T > 0, driven by the dierential operator L, and
with a stochastic input given by W(t, x). For the sake of simplicity we shall
assume that the initial conditions vanish.
Hypotheses on W
We assume that (W(), T(R
d+1
)) is a Gaussian process, zero mean, and
non-degenerate covariance function given by E (W(
1
)W(
2
)) = J(
1
,
2
),
where the functional J is dened in (3.15). By setting = T
1
, the
covariance can be written as
E (W(
1
)W(
2
)) =
_
R
+
ds
_
R
d
(d)T
1
(s)()T
2
(s)(),
(see (3.16)).
From this process, we obtain the Gaussian family (W(h), h H
T
) (see Sec-
tion 3.2).
A cylindrical Wiener process derived from (W(h), h H
T
)
The process (W
t
, t [0, T]) dened by
W
t
=
j=1
e
j
j
(t),
where (e
j
, j 1) is a CONS of H and
j
, j 1, a sequence of independent
standard Wiener processes, denes a cylindrical Wiener process on H (see
37
[18], Proposition 4.11, page 96, for a denition of this object). In particular,
W
t
(g) := W
t
, g)
H
satises
E (W
t
(g
1
)W
s
(g
2
)) = (s t)g
1
, g
2
)
H
.
The relationship between (W
t
, t [0, T]) and (W(h), h H
T
) can be estab-
lished as follows. Consider h H
T
of the particular type h = 1 1
[0,t]
g, g H.
Then, the respective laws of the stochastic processes W(1 1
[0,t]
g), t [0, T] and
W
t
, g)
H
, t [0, T] are the same.
Indeed, by linearity,
W(1 1
[0,t]
g) =
j=1
g, e
j
)
H
W(1 1
[0,t]
e
j
),
By the denition of (W(h), h H
T
), the family (W(1 1
[0,t]
e
j
), t [0, T], j 1)
is a sequence of independent standard Brownian motions.
On the other hand,
W
t
, g)
H
=
j=1
g, e
j
)
H
j
(t).
This nishes the proof of the statement.
In connection with the process (W
t
, t [0, T]), we consider the ltration
(T
t
, t [0, T]), where T
t
is the -eld generated by the random variables
W
s
(g), 0 s t, g H. It will be termed the natural ltration associated
with W.
Hypotheses on L
We shall denote by the fundamental solution of Lu = 0, and we shall
assume
(H
L
) is a deterministic function of t taking values in the space of non-
negative measures with rapid decrease (as a distribution), satisfying
_
T
0
dt
_
R
d
(d) [T(t)()[
2
< , (5.2)
and
sup
t[0,T]
(t)(R
d
) < . (5.3)
38
Examples
1 Heat operator: L =
t
d
, d 1.
The fundamental solution of this operator possesses the following property:
for any t 0, R
d
,
C
1
t
1 +[[
2

_
t
0
ds[T(s)()[
2
C
2
t + 1
1 +[[
2
, (5.4)
for some positive constants C
i
, i = 1, 2.
Consequently (5.2) holds if and only if
_
R
d
(d)
1 +[[
2
< . (5.5)
Let us give the proof of (5.4). (t) is a function given by
(t, x) = (2t)
d
2
exp
_
[x[
2
2t
_
.
Its Fourier transform is
T(t)() = exp(2
2
t[[
2
).
Hence,
_
t
0
dt[T(t)()[
2
=
1 exp(4
2
t[[
2
4
2
[[
2
.
On the set ([[ > 1), we have
1 exp(4
2
t[[
2
)
4
2
[[
2

1
2
2
[[
2

C
1 +[[
2
.
On the other hand, on ([[ 1), we use the property 1 e
x
x, x 0,
and we obtain
1 exp(4
2
t[[
2
)
4
2
[[
2

Ct
1 +[[
2
.
This yields the upper bound in (5.4).
Moreover, the inequality 1 e
x
x
1+x
, valid for any x 0, implies
_
t
0
ds[T(t)()[
2
C
t
1 + 4
2
t[[
2
.
39
Assume that 4
2
t[[
2
1. Then 1 + 4
2
t[[
2
8
2
t[[
2
; if 4
2
t[[
2
1
then 1 + 4
2
t[[
2
< 2 and therefore,
1
1+4
2
t||
2

1
2(1+||
2
)
. Hence, we obtain
the lower bound in (5.4) and now the equivalence between (5.2) and (5.5) is
obvious.
Condition (5.3) is clearly satised.
2 Wave operator: L =
2
tt
d
, d 1.
For any t 0, R
d
, it holds that
c
1
(t t
3
)
1
1 +[[
2

_
t
0
ds[T(s)()[
2
c
2
(t + t
3
)
1
1 +[[
2
, (5.6)
for some positive constants c
i
, i = 1, 2. Thus, (5.2) is equivalent to (5.5).
Let us prove (5.6). It is well known (see for instance [75]) that
T(t)() =
sin(2t[[)
2[[
.
Therefore
[T(t)()[
2
1
2
2
(1 +[[
2
)
1 1
(||1)
+ t
2
1 1
(||1)
C
1 + t
2
1 +[[
2
.
This yields the upper bound in (5.6).
Assume that 2t[[ 1. Then
sin(4t||)
2t||
and consequently,
_
t
0
ds
sin
2
(2s[[)
(2[[)
2
C
t
1 +[[
2
_
2t
0
sin
2
(u[[)du
= C
t
1 +[[
2
(2
sin(4t[[)
2t[[
)
C
t
1 +[[
2
.
Next we assume that 2t[[ 1 and we notice that for r [0, 1],
sin
2
r
r
2

sin
2
1. Thus,
_
t
0
ds
sin
2
(2s[[)
(2[[)
2
C sin
2
1
_
2t
0
s
2
ds
C
t
3
1 +[[
2
.
40
This nishes the proof of the lower bound in (5.6).
For d 3, condition (5.3) holds true. In fact,
(t, dx) =
_
_
1
2
1 1
{|x|<t}
dx, d = 1,
1
2
(t
2
[x[
2
)
1
2
1 1
{|x|<t}
dx, d = 2,
t(dx)
4t
, d = 3,
where
t
stands for the uniform surface measure on the sphere centered at
zero and with radius t. Easy computations show that (t)(R
d
) = 1 in each
case.
Dimension d = 3 is a threshold value. Indeed, for higher dimensions is not
in the class of non-negative measures and therefore the results of this lecture
do not apply.
Mild formulation of the SPDE
By a solution of (5.1) we mean a real-valued stochastic process
u(t, x), (t, x) [0, T] R
d
, predictable with respect to the ltration
(T
t
, t [0, T]), such that
sup
(t,x)[0,T]R
d
E
_
[u(t, x)[
2
_
<
and
u(t, x) =
_
t
0
_
R
d
(t s, x y)(u(s, y))W(ds, dy)
+
_
t
0
_
R
d
b(u(t s, x y))(s, dy). (5.7)
Notice that the pathwise integral is the integral of a convolution with the
measure (s):
_
t
0
_
R
d
b(u(t s, x y))(s, dy) =
_
t
0
[b(u(s, )) (t s)] ds.
As for the stochastic integral, it is a stochastic convolution. For the con-
struction of this object, we refer the reader to [18]. From this refer-
ence, we see that in order to give a meaning to the stochastic convolution
_
t
0
_
R
d (t s, x y)(u(s, y))W(ds, dy), the process
z(s, y) := (t s, x y)(u(s, y)), s [0, t], y R
d
,
41
t ]0, T], x R
d
, is required to be predictable and to belong to the space
L
2
( [0, T]; H).
We address this question following the approach of [53] with a few changes,
in particular we allow more general covariances (see Lemma 3.2 and Propo-
sition 3.3 in [53]).
Lemma 5.1 Assume that satises (H
L
), then H
T
and
||
2
H
T
=
_
T
0
dt
_
R
d
(d)[T(t)()[
2
.
Proof: Let be a non-negative function in (
(R
d
) with support contained
in the unit ball and such that
_
R
d (x)dx = 1. Set
n
(x) = n
d
(nx), n 1.
Dene
n
(t) =
n
(t). It is well known that
n

0
in o
(R
d
) and
n
(t) o(R
d
). Moreover, for any R
d
, [T
n
(t)()[ [T(t)()[.
By virtue of (5.2), (
n
, n 1) H
T
, and it is Cauchy sequence. Indeed,
|
n
m
|
H
T
=
_
T
0
dt
_
R
d
(d)[T(t)()[
2
[T(
n
()
m
(t))[
2
and since T(
n
()
m
()) converges pointwise to zero as n, m , we
have
lim
n,m
|
n
m
|
H
T
= 0,
by bounded convergence. Consequently, (
n
, n 1) converges in H
T
and the
limit is . Finally, by using again bounded convergence,
||
2
H
T
= lim
n
|
n
|
2
H
T
=
_
T
0
dt
_
R
d
(d)[T(t)()[
2
.
The next Proposition gives a large class of examples for which the stochastic
convolution against W can be dened.
Proposition 5.1 Assume that satises (H
L
). Let Z = Z(t, x), (t, x)
[0, T] R
d
be a predictable process, bounded in L
2
. Set
C
Z
:= sup
(t,x)[0,T]R
d
E
_
[Z(t, x)[
2
_
.
42
Then, z(t, dx) := Z(t, x)(t, dx) is a predictable process belonging to L
2
(
[0, T]; H) and
E
_
|z|
2
H
T
_
C
Z
_
T
0
dt
_
R
d
(d) [T(t)()[
2
.
Hence, the stochastic integral
_
T
0
_
R
d zdW is well-dened as an L
2
()-valued
random variable and
_
_
_
_
_
_
T
0
_
R
d
zdW
_
_
_
_
_
2
L
2
()
= E
_
|z|
2
H
T
_
C
Z
_
T
0
dt
_
R
d
(d) [T(t)()[
2
. (5.8)
Proof: By decomposing the process Z into its positive and negative part,
it suces to consider non-negative processes Z. Since (t) is a tempered
measure, so is z(t). Hence we can consider the sequence of o(R
d
)-valued
functions z
n
(t) =
n
z(t), n 1, where
n
is the approximation of the
identity dened in the proof of the preceding lemma.
Using Fubinis theorem and the boundedness property of Z we obtain
E(|z
n
|
2
H
T
) = E
_
_
T
0
dt
_
R
d
(dx) [z
n
(t) z
n
(t)] (x)
_
C
Z
_
T
0
dt
_
R
d
(dx)
_
R
d
dz
n
(t, d(z))
n
(t, d(x z))
= C
Z
_
T
0
dt
_
R
d
(dx)
_
n
(t)

n
(t)
_
(x)
= C
Z
_
T
0
dt
_
R
d
(d)[T
n
(t)()[
2
C
Z
_
T
0
dt
_
R
d
(d)[T(t)()[
2
< .
Hence sup
n1
E(|z
n
|
2
H
T
) < .
Moreover, assume that for any n, m 1 we can prove the following identity:
E(|z
n
z
m
|
2
H
T
) = E
_
_
T
0
dt
_
R
d
(d)[T(Z(t)(t))()[
2
[T(
n
()
m
())[
2
_
.
(5.9)
43
then, using similar arguments as in the preceding lemma, we can prove that
(z
n
, n 1) converges in L
2
( [0, T]; H) to z, nishing the proof of the
proposition.
For the proof of (5.9), we proceed as follows. Firstly, to simplify the expre-
sions, we write z
n,m
instead of z
n
z
m
, and

n,m
for
n
m
.
E(| z
n,m
|
2
H
T
) = E
_
_
T
0
dt
_
R
d
(dx)
_
R
d
dy z
n,m
(t, x y) z
n,m
(t, y)
_
= E
__
T
0
dt
_
R
d
(dx)
_
R
d
dy
__
R
d
dz
n,m
(x y z
)z(t, z
)
_
__
R
d
dz
n,m
(y z
)z(t, z
)
__
= E
__
T
0
dt
_
R
d
_
R
d
Z(t, z
)Z(t, z
)(t, dz
)(t, dz
_
R
d
(dx)[
n,m
(. z
n,m
(. + z
]
_
= E
__
T
0
dt
_
R
d
_
R
d
Z(t, z
)Z(t, z
)(t, dz
)(t, dz
_
R
d
(d)e
2i(z
)
[T

n,m
()[
2
_
. (5.10)
Then, since the Fourier transform of a convolution is the product of the
Fourier transform of the corresponding factors, using Fubinis theorem this
last expression is equal to
E
_
_
T
0
dt
_
R
d
(d)[T(Z(t)(t))()[
2
[T

n,m
()[
2
_
.
Hence (5.9) is established.
Finally, (5.8) is obtained by the isometry property of the stochastic convolu-
tion, combined with the estimate of the integrand proved before.
Remark 5.1 Assume that the process Z is bounded away from zero, that it
inf
(t,x)[0,T]R
d [Z(t, x)[ c
0
> 0. Then
E(|z
n
|
2
H
T
) c
2
0
_
T
0
dt
_
R
d
(d)[T(t)()[
2
[T
n
()[
2
. (5.11)
44
Indeed, arguing as in (5.10), we see that
E(|z
n
|
2
H
T
) = E
__
T
0
dt
_
R
d
_
R
d
Z(t, z
)Z(t, z
)(t, dz
)(t, dz
_
R
d
(dx)[
n
(. z
)
n
(. + z
]
_
c
2
0
_
T
0
dt
_
R
d
_
R
d
(t, dz
)(t, dz
_
R
d
(dx)[
n
(. z
)
n
(. + z
]
= c
2
0
_
T
0
dt
_
R
d
_
R
d
(t, dz
)(t, dz
_
R
d
(d)e
2i(z
)
[T
n
()[
2
= c
2
0
_
T
0
dt
_
R
d
(d)[T(t)()[
2
[T
n
()[
2
.
Remark 5.2 Assume that the coecient in (5.7) has linear growth and
that the process u satises the conditions given at the beginning of the section.
Then Z(s, y) := (u(s, y)) satises the assumption of Proposition 5.1 and the
stochastic integral (stochastic convolution) in (5.7) is well-dened.
A result on existence and uniqueness of solution
Theorem 5.1 Assume that , b : R R are Lipschitz functions and that
satises (H
L
). Then there exists a unique mild solution to Equation (5.1).
Such a solution is a random eld indexed by (t, x) [0, T] R
d
, continuous
in L
2
(), and for any p [1, [,
sup
(t,x)[0,T]R
d
E ([u(t, x)[
p
) < . (5.12)
The proof of this theorem can be done using Picards iteration scheme dened
as follows:
u
0
(t, x) = 0,
u
n
(t, x) =
_
t
0
_
R
d
(t s, x y)(u
n1
(s, y))W(ds, dy)
+
_
t
0
_
R
d
b(u
n1
(t s, x y))(s, dy), (5.13)
45
for n 1. We refer the reader to Theorem 13 of [16] for the details of
the proof of the convergence of the Picard sequence and the extensions of
Gronwalls lemma suitable thereof (see also Theorem 6.2 and Lemma 6.2 in
[69]).
5.2 The Malliavin derivative of a SPDE
Consider a SPDE in its mild formulation (see 5.7). We would like to study
its dierentiability in the Watanabe-Sobolev sense. There are two aspects of
the problem:
(A) to prove dierentiability,
(B) to give an equation satised by the Malliavin derivative.
A useful tool to prove dierentiability of Wiener functionals is provided by
the next result, which is an immediate consequence from the fact that the
Nth order Malliavin derivative is a closed operator dened on L
p
() with
values in L
p
(; H
N
), for any p [1, [. In our context H := H
T
. A result
of the same vein has been presented in Proposition 3.3.
Lemma 5.2 Let (F
n
, n 1) be a sequence of random variables belonging to
D
N,p
. Assume that:
(a) there exists a random variable F such that F
n
converges to F in L
p
(),
as n tends to ,
(b) the sequence (D
N
F
n
, n 1) converges in L
p
(; H
N
T
), as n tends to ,
Then F belongs to D
N,p
and D
N
F = L
p
(; H
N
T
) lim
n
D
N
F
n
.
We shall apply this lemma to F := u(t, x), the solution of Equation (5.7).
Therefore, we have to nd out an approximating sequence of the SPDE sat-
isfying the assumptions (a) and (b) above. A possible candidate is provided
in the proof of the existence and uniqueness of solution: the Picard approx-
imations dened in (5.13). The verication of condition (a) for the sequence
(u
n
(t, x), n 0), for xed (t, x) [0, T] R
d
is part of the proof of Theorem
5.1
As regards condition (b), we will avoid too many technicalities by focussing
on the rst order derivative and taking p = 2. For this we need the functions
and b to be of class (
1
.
46
A possible strategy might consists in proving recursively that u
n
(t, x) belongs
to D
1,2
, then applying rules of Malliavin calculus (for instance, an extension
of (3.30)) we will obtain
Du
0
(t, x) = 0
Du
n
(t, x) = (t , x )(u
n1
(, ))
+
_
t
0
_
R
d
(t s, x y)
(u
n1
(s, y))Du
n1
(s, y)W(ds, dy)
+
_
t
0
ds
_
R
d
(s, dy)b
(u
n1
(t s, x y))Du
n1
(t s, x y),
(5.14)
n 1.
A natural candidate for the limit of this sequence is the process satisfying
(5.16).
At this point some comments are pertinent:
1. The Malliavin derivative is a random vector with values in H
T
. There-
fore, Equations (5.14) and (5.16) correspond to the mild formulation
of a Hilbert-valued SPDE.
2. The notation (t, x)(u
n1
(, )) aims to show up the dependence
on the time variable (written with a dot) and on the space variable
(written with a star). By Proposition 5.1 and Remark 5.2 such a term
is in L
2
( [0, T]; H).
3. The stochastic convolution term in (5.14) is not covered by the previous
discussion, since the process
(u
n1
(s, y))Du
n1
(s, y) takes values on
H
T
. A sketch of the required extension is given in the next paragraphs.
Stochastic convolution with Hilbert-valued integrands
Let / be a separable real Hilbert space with inner-product and norm denoted
by , )
K
and | |
K
, respectively. Let K = K(s, z), (s, z) [0, T] R
d
be
a /-valued predictable process satisfying
C
K
:= sup
(s,z)[0,T]R
d
E
_
[[K(s, z)[[
2
K
_
< .
Consider a complete orthonormal system of /, that we denote by e
j
, j
0. Set K
j
(s, z) = K(s, z), e
j
)
K
, (s, z) [0, T] R
d
. By Proposition
47
5.1, z
j
(t, dx) = K
j
(t, x)(t, dx) is a predictable process and belongs to
L
2
( [0, T]; H), and then K(t, x)(t, dx) is also a predictable process
and belongs to L
2
( [0, T]; H /). The /-valued stochastic convolution
_
T
0
_
R
d (t, x)K(t, x)W(dt, dx) is dened as
_
_
T
0
_
R
d
(t, x)K
j
(t, x)W(dt, dx), j 0
_
and satises
E
_
_
_
_
_
_
_
_
T
0
_
R
d
(t, x)K(t, x)W(dt, dx)
_
_
_
_
_
2
K
_
_
= E
_
|K|
2
HK
_
C
K
_
T
0
dt
_
R
d
(d)[T(t)()[
2
. (5.15)
Going back to the application of Lemma 5.2, we might guess as limit of the
sequence (5.14) a H
T
-valued process (Du(t, x), (t, x) [0, T] R
d
) satisfying
the equation
Du(t, x) = (t , x )(u(, ))
+
_
t
0
_
R
d
(t s, x y)
(u(s, y))Du(s, y)W(ds, dy)

+
_
t
0
ds
_
R
d
(s, dy)b
(u(t s, x y))Du(t s, x y). (5.16)

Yet another result on existence and uniqueness of solution
Theorem 5.1 is not general enough to cover SPDEs like (5.16). In this section
we set up a suitable framework for this (actually to deal with Malliavin
derivatives of any order). For more details we refer the reader to [69], Chapter
6.
Let /
1
, / be two separable Hilbert spaces. If there is no reason for mis-
understanding we will use the same notation, [[ [[, , ), for the norms and
inner products in these two spaces, respectively.
Consider two mappings
, b : /
1
/ /
satisfying the next two conditions for some positive constant C:
(c1)
sup
xK
1
_
[[(x, y) (x, y
)[[ +[[b(x, y) b(x, y
)[[
_
C[[y y
[[,
48
(c2) there exists q [1, ) such that
[[(x, 0)[[ +[[b(x, 0)[[ C(1 +[[x[[
q
),
x /
1
, y, y
/.
Notice that (c1) and (c2) clearly imply
(c3) [[(x, y)[[ +[[b(x, y)[[ C(1 +[[x[[
q
+[[y[[).
Let V =
_
V (t, x), (t, x) [0, T] R
d
_
be a predictable /
1
-valued process
such that
sup
(t,x)[0,T]R
d
E
_
[[V (t, x)[[
p
_
< , (5.17)
for any p [1, ).
Consider also a predictable /-valued process U
0
=
_
U
0
(t, x), (t, x) [0, T]
R
d
_
satisfying the analogue of (5.17).
Set
U(t, x) = U
0
(t, x) +
_
t
0
_
R
d
(t s, x y)
_
V (s, y), U(s, y)
_
W(ds, dy)
+
_
t
0
ds
_
R
d
b
_
V (t s, x y), U(t s, x y)
_
(s, dy). (5.18)
A solution to Equation (5.18) is a /-valued predictable stochastic process
_
U(t, x), (t, x) [0, T] R
d
_
such that
sup
(t,x)[0,T]R
d
E
_
[[U(t, x)[[
2
_
<
and satises the relation (5.18).
Theorem 5.2 We assume that the coecients and b satisfy the conditions
(c1) and (c2) above. Then, Equation (5.18) has a unique solution.
In addition the solution satises
sup
(t,x)[0,T]R
d
E
_
[[U(t, x)[[
p
_
< , (5.19)
for any p [1, ).
49
Main result
We will now apply Lemma 5.2 to prove that for any xed (t, x) [0, T] R
d
,
u(t, x) D
1,2
. The next results provide a verication of conditions (a) and (b)
of the Lemma. We shall assume that the functions and b are dierentiable
with bounded derivatives.
Lemma 5.3 The sequence of random variables
_
u
n
(t, x), n 0
_
dened re-
cursively in (5.13) is a subset of D
1,2
.
In addition,
sup
n0
sup
(t,x)[0,T]R
d
E
_
|Du
n
(t, x)|
2
H
T
_
< . (5.20)
Proof: It is done by a recursive argument on n. Clearly the property is true
for n = 0. Assume it holds up to the (n 1)-th iteration. By the rules
of Malliavin calculus (in particular, Proposition 3.5 and Remark 3.4), the
right hand-side of (5.13) belongs to D
1,2
. Hence u
n
(t, x) D
1,2
and moreover
(5.14) holds.
We now prove (5.20). Denote by B
i,n
, i = 1, 2, 3, each one of the terms on
the right hand-side of (5.14), respectively. By applying Proposition 5.1 to
Z(t, x) := (u(t, x)) along with the linear growth of the function , we obtain
E
_
[[B
1,n
[[
2
H
T
_
C
_
1 + sup
(t,x)[0,T]R
d
E([u
n1
(t, x)[
2
)
_
_
T
0
ds
_
R
d
(d)[T(s)()[
2
,
which is uniformly bounded with respect to n (see (ii) in the proof of Theorem
6.2 in [69]).
Set
J(t) =
_
R
d
(d) [T(t)()[
2
, t 0.
Consider now the second term B
2,n
(t, x). By the construction of the stochas-
tic convolution and the properties of , we have
E(|B
2,n
(t, x)|
2
H
T
) C
_
t
0
ds sup
zR
d
E
_
[[
(u
n1
(s, z))Du
n1
(s, z)[[
2
H
T
_
J(t s)
C
_
t
0
ds sup
(,z)[0,s]R
d
E
_
[[Du
n1
(, z)[[
2
H
T
_
J(t s).
50
Finally, for the third term B
3,n
(t, x) we use Schwarzs inequality with respect
to the nite measure (s, dz)ds. Then, the assumptions on b and yield
E(|B
3,n
(t, x)|
2
H
T
C
_
t
0
ds sup
(,z)[0,s]R
d
E
_
[[Du
n1
(, z)[[
2
H
T
_
.
Therefore,
sup
(s,z)[0,t]R
d
E
_
[[Du
n
(s, z)[[
2
H
T
_
C
_
1 +
_
t
0
ds sup
(,z)[0,s]R
d
E
_
[[Du
n1
(, z)[[
2
H
T
_
(J(t s) + 1)
_
.
Then, by Gronwalls Lemma (see Lemma 6.2 in [69]), we nish the proof.
Lemma 5.4 Under the standing hypotheses, the sequence Du

n
(t, x), n 0,
converges in L
2
(; H
T
), uniformly in (t, x) [0, T] R
d
, to the H
T
-valued
stochastic processes
_
U(t, x), (t, x) [0, T] R
d
_
solution of the equation
U(t, x) = H(t, x)
+
_
t
0
_
R
d
(t s, x z)U(s, z)
(u(s, z))W(ds, dz)

+
_
t
0
ds
_
R
d
(s, dz)U(t s, x z)b
(u(t s, x z)), (5.21)

with H(t, x) = (u(, ))(t , x ).
Proof : We must prove
sup
(t,x)[0,T]R
d
E
_
_
_
_Du
n
(t, x) U(t, x)
_
_
_
2
H
T
_
0, (5.22)
as n tends to innity.
51
Set
I
n,N
Z
(t, x) = (t , x )
_
(u
n1
(, )) (u(, ))
_
,
I
n
(t, x) =
_
t
0
_
R
d
(t s, x z)
(u
n1
(s, z))Du
n1
(s, z)W(ds, dz)
_
t
0
_
R
d
(t s, x z)
(u(s, z))U(s, z)W(ds, dz),

I
n
b
(t, x) =
_
t
0
ds
_
R
d
(s, dz)
_
b
(u
n1
(t s, x z))Du
n1
(t s, x z)
b
(u(t s, x z))U(t s, x z)
_
.
The Lipschitz property of yields
E([[I
n,N
Z
(t, x)[[
2
H
T
) C sup
(t,x)[0,T]R
d
E([u
n1
(t, x) u(t, x)[
2
)
_
t
0
ds
_
R
d
(d)[T(s)()[
2
C sup
(t,x)[0,T]R
d
E([u
n1
(t, x) u(t, x)[
2
).
Hence,
lim
n
sup
(t,x)[0,T]R
d
E([[I
n,N
Z
(t, x)[[
2
H
T
) = 0. (5.23)
Consider the decomposition
E(|I
n
(t, x)|
2
H
T
) C(D
1,n
(t, x) + D
2,n
(t, x),
where
D
1,n
(t, x) = E
_
|
_
t
0
_
R
d
(t s, x z)[
(u
n1
(s, z))
(u(s, z))]Du
n1
(s, z)W(ds, dz)|
2
H
T
_
,
D
2,n
(t, x) = E
_
|
_
t
0
_
R
d
(t s, x z)
(u(s, z))[Du
n1
(s, z)
U(s, z)]W(ds, dz)|
2
H
T
_
.
The isometry property of the stochastic integral, Cauchy-Schwarzs inequality
and the properties of yield
D
1,n
(t, x) C sup
(s,y)[0,T]R
d
_
E([u
n1
(s, y) u(s, y)[
4
)E(|Du
n1
(s, y)|
4
H
T
)
_1
2
_
t
0
ds
_
R
d
(d)[T(s)()[
2
.
52
Owing to and Lemma 5.3 we conclude that
lim
n
sup
(t,x)[0,T]R
d
D
1,n
(t, x) = 0.
Similarly,
D
2,n
(t, x) C
_
t
0
ds sup
(,y)[0,s]R
d
E(|Du
n1
(, y) U(, y)|
2
H
T
)J(t s).
(5.24)
For the pathwise integral term, we have
E(|I
n
b
(t, x)|
2
H
T
) C(b
1,n
(t, x) + b
2,n
(t, x)),
with
b
1,n
(t, x) = E
_
[[
_
t
0
ds
_
R
d
(s, dz)[b
(u
n1
(t s, x z)) b
(u(t s, x z))]
Du
n1
(t s, x z)[[
2
H
T
_
,
b
2,n
(t, x) = E
_
|
_
t
0
ds
_
R
d
(s, dz)b
(u(t s, x z))
[Du
n1
(t s, x z) U(t s, x z)]|
2
H
T
_
.
By the properties of the deterministic integral of Hilbert-valued processes,
the assumptions on b and Cauchy-Schwarzs inequality we obtain
b
1,n
(t, x)
_
t
0
ds
_
R
d
(s, dz)E
_
[b
(u
n1
(t s, x z)) b
(u(t s, x z))[
2
|Du
n1
(t s, x z)|
2
H
T
_
sup
(s,y)[0,T]R
d
_
E[u
n1
(s, y) u(s, y)[
4
E|Du
n1
(s, y)|
4
H
T
_
1/2
_
t
0
ds(s, dz).
Thus,
lim
n
sup
(t,x)[0,T]R
d
b
1,n
(t, x) = 0.
Similar arguments yield
b
2,n
(t, x) C
_
t
0
ds sup
(,y)[0,s]R
d
E(|Du
n1
(, y) U(, y)|
2
H
T
).
53
Therefore we have obtained that
sup
(s,x)[0,t]R
d
E([[Du
n
(s, x) U(s, x)[[
2
H
T
)
C
n
+ C
_
t
0
ds sup
(,x)[0,s]R
d
E([[Du
n1
(, x) U(, x)[[
2
H
T
)(J(t s) + 1),
with lim
n
C
n
= 0. Thus applying a version of Gronwalls lemma (see
Lemma 6.2 in [69]) we complete the proof of (5.22).
54
6 Analysis of Non-Degeneracy
In comparison with SDEs, the application of the criteria for existence and
smoothness of density for Gaussian functionals (see for instance Proposition
4.3) and Theorem 4.2) to SPDEs is not a well developed topic. Most of the
results for SPDEs are proved under ellipticity conditions. In this lecture,
we shall discuss the non-degeneracy of the Malliavin matrix for the class
of SPDEs studied in the preceding lecture, in a very simple situation: in
dimension one and assuming ellipticity.
6.1 Existence of moments of the Malliavin covariance
Throughout this section, we x (t, x) ]0, T] R
d
and consider the random
variable u(t, x) obtained as a solution of (5.7). Hence we are in the framework
of Section 5 and therefore, we are assuming in particular that satises
hypotheses (H
L
).
Following Denition 4.1, the Malliavin matrix is the random variable
|Du(t, x)|
H
T
. In this section, we want to study the property
E
_
|Du(t, x)|
p
H
T
_
< , (6.1)
for some p ]0, [.
A reason for this is to apply Proposition 4.3 and to deduce the existence of
density for the law of u(t, x). We have already proved in the preceding lecture
that u(t, x) D
1,2
. Hence, it remains to check that |Du(t, x)|
H
T
> 0, a.s.
Clearly, having (6.1) for some p > 0 is a sucient condition for this property
to hold.
The classical connection between moments and distribution func-
tions
Lemma 6.1 Fix p ]0, ]. The property (6.1) holds if and only if there
exists
0
> 0, depending on p, such that
_

0
0
(1+p)
P([[Du(t, x)[[
2
H
T
< )d < . (6.2)
Proof: It is well known that for any positive random variable Y ,
E(Y ) =
_

0
P(Y > )d.
55
In fact, this follows easily from Fubinis theorem.
Apply this formula to Y := [[Du(t, x)[[
2p
H
T
. We obtain
E([[Du(t, x)[[
2p
H
T
) = m
1
+ m
2
,
with
m
1
=
_

0
0
P([[Du(t, x)[[
2p
H
T
> )d,
m
2
=
_

0
P([[Du(t, x)[[
2p
H
T
> )d.
Clearly, m
1

0
. The change of variable =
p
implies
m
2
=
_

0
P([[Du(t, x)[[
2p
H
T
> )d
=
_

0
P([[Du(t, x)[[
2
H
T
<
1
p
)d
= p
_

1
p
0
0
(1+p)
P([[Du(t, x)[[
2
H
T
< )d.
This nishes the proof.
Moments of low order

Knowing the size in of the term P([[Du(t, x)[[
2
H
T
< ) will help us to verify
the integrability of
(1+p)
P([[Du(t, x)[[
2
H
T
< ) at zero, and a posteriori to
establish the validity of (6.1). The next proposition gives a result in this
direction.
Proposition 6.1 We assume that
(1) there exists
0
> 0 such that inf[(z)[, z R
0
,
(2) there exist such that for any t (0, 1),
C
1
t
_
t
0
ds
_
R
d
(d)[T(s)()[
2
, (6.3)
56
Then for any ]0, 1[,
P
_
|Du(t, x)|
2
H
T
<
_
C
1
1
. (6.4)
Consequently, (6.1) holds for any p < 1
1
.
Proof: Fix > 0 such that t 0. From (5.16), the denition of H
T
, and
the triangular inequality, we clearly have
|Du(t, x)|
2
H
T

_
t
t
ds|D
s,
u(t, x)|
2
H
1
2
_
t
t
ds|(t s, x )(u(s, ))|
2
H
I(t, x; ),
where
I(t, x; ) =
_
t
t
ds|
_
t
s
_
R
d
(t r, x z)
(u(r, z))D
s,
u(r, z)W(dr, dz)
+
_
t
s
dr
_
R
d
(t r, dz)b
(u(r, x z))D
s,
u(r, x z)|
2
H
.
Set
M
1
() =
_

0
ds
_
R
d
(d)[T(s)()[
2
,
M
2
() =
_

0
ds
_
R
d
(s, y)dy.
Notice that by (5.3), M
2
() C.
Our aim is to prove
_
t
t
ds|(t s, x )(u(s, ))|
2
H

2
0
M
1
(), (6.5)
E (I(t, x; )) CM
1
() (M
1
() + M
2
()) . (6.6)
For any ]0, 1[, we can choose := () > 0 such that M
1
() =
4
2
0
. Notice
that by (6.3) this is possible. Then, <
_
4
2
0
_1
, and assuming that (6.5),

57
(6.6) hold true, we have
P
_
|Du(t, x)|
2
H
T
<
_
P
__
t
t
ds|D
s,
u(t, x)|
2
H
<
_
P
_
I(t, x; )

2
0
2
M
1
()
_
C
1
E (I(t, x; ()))
C
1
_
2
+
1+
1
_
C
1
1
.
This is (6.4).
Proof of (6.5):
By a change of variables
_
t
t
ds|(t s, x )(u(s, ))|
2
H
=
_

0
ds|(s, x )(u(t s, ))|
2
H
.
Then, the inequality (5.11) applied to Z(s, y) = [(u(t s, y))[ and T :=
yields (6.5). Indeed, for this choice of Z and T,
_

0
ds|(s, x )(u(t s, ))|
2
H
= lim
n
E(|z
n
|
2
H
)
0
M
1
().
Proof of (6.6):
We shall give a bound for the mathematical expectation of each one of the
terms
I
1
(t, x; ) =
_

0
ds
_
_
_
_
_
t
ts
_
R
d
(t r, x z)
(u(r, z))D
ts,
u(r, z)W(dr, dz)
_
_
_
_
2
H
,
I
2
(t, x; ) =
_

0
ds
_
_
_
_
_
t
ts
dr
_
R
d
(t r, dz)b
(u(r, x z))D
ts,
u(r, x z)
_
_
_
_
2
H
.
Since
is bounded, the inequality (5.15) yields

E (I
1
(t, x; )) C sup
(s,y)[0,]R
d
E
_
|D
t,
u(t s, y)|
2
H
_
M
1
().
For the pathwise integral, it is easy to prove that
E (I
2
(t, x; )) C sup
(s,y)[0,]R
d
E
_
|D
t,
u(t s, y)|
2
H
_
M
2
().
58
Since
sup
(s,y)[0,]R
d
E
_
|D
t,
u(t s, y)|
2
H
_
CM
1
(),
(see for instance [61] or Lemma 8.2 in [69]), we get
E (I
1
(t, x; )) CM
1
()
2
,
E (I
2
(t, x; )) CM
1
()M
2
().
This nishes the proof of (6.7) and therefore of (6.4).
The statement about the validity of (6.1) for the given range of p is a conse-
quence of Lemma 6.1.
An example: the stochastic wave equation in dimension d 3

Proposition 6.1 can be applied for instance to the stochastic wave equation.
Indeed, let be the fundamental solution of L = 0 with L =
2
tt

d
,
d = 1, 2, 3. Assume that the measure satises
0 <
_
R
d
(d)
1 +[[
2
< .
Then from (5.6) it follows that
C
1
(t t
3
)
_
t
0
ds
_
R
d
(d)[T(s)()[
2
C
2
(t + t
3
),
where C
i
, i = 1, 2 are positive constants independent of t.
In particular, for t [0, 1),
C
1
t
3
_
t
0
ds
_
R
d
(d)[T(s)()[
2
C
2
t.
Thus, condition (6.3) of Proposition 6.1 is satised with = 3, and conse-
quently E (|Du(t, x)|
p
) < , for any p <
1
3
.
Remark 6.1 Assume that for some
0
]0, t[,
_

0
0
dt
_
R
d
(d)[T(t)()[
2
(d) > 0 (6.7)
and consider the same assumptions on the coecients as in Proposition 6.1.
Then |Du(t, x)|
H
T
> 0, a.s. (see Theorem 5.2 in [53]). This conclusion is
weaker that (6.1), but it suces to give the existence of density for u(t, x).
59
Remark 6.2 Proposition 8.1 [69] is a weaker version of Proposition 6.1.
The proof of of Proposition 6.1 follows [53], Theorem 5.2.
Existence of density
To end this section, and as a summary, we give a result on existence of density
for the solution of a class of SPDEs, as follows.
Theorem 6.1 Consider the stochastic process u(t, x), (t, x) [0, T] R
d
solution of (5.7). We assume:

(1) the functions , b belong to (
1
and have bounded derivatives,
(2) there exists
0
0
,
(3) satises the assumptions (H
L
),
(4) there exist > 0, such that for any t (0, 1),
C
1
t
_
t
0
ds
_
R
d
(d)[T(s)()[
2
Then, for any xed (t, x) ]0, T] R
d
, the random variable u(t, x) belongs
to D
1,2
, and for any p < 1
1
, E(|Du(t, x)|
p
H
T
) < . Consequently, the
probability law of u(t, x) is absolutely continuous with respect to the Lebesgue
measure on R.
Proof: The results of Section 5.2 imply u(t, x) D
1,2
. While the property
about existence of moments has been established in Proposition 6.1. Even-
tually, the conclusion about the law of u(t, x) follows from Proposition 4.3.
Moments of any order

It is easy to improve the conclusions of Proposition 6.1 so that we can obtain
(6.1) for any p 0.
Indeed, moving back to the proof of this Proposition, we recall that we have
obtained
P
_
|Du(t, x)|
2
H
T
<
_
P
_
I(t, x; )

2
0
2
M
1
()
_
.
60
At this point, we can apply Chebychevs inequality to obtain
P
_
I(t, x; )

2
0
2
M
1
()
_
C
q
E (I(t, x; ()))
q
,
for any q > 1.
Using L
q
()- estimates for the Hilbert-valued stochastic convolutions (see
for instance [69], Theorem 6.1), and for pathwise integrals as well, yield
E (I(t, x; ()))
q
C()
q1
_
M
1
(())
2q
+ M
1
(())
q
(())
q
_
.
By the choice of (), this implies
P
_
|Du(t, x)|
2
H
T
<
_
C
q1
+[q
q
]
.
Since q can be chosen arbitrarily large, we obtain (6.1) for any p 0.
Regularity of the density
Proceeding recursively, it is possible to extend the results in Section 5.2
and prove that under suitable assumptions, the solution of (5.7) is innitely
dierentiable in the Watanabe-Sobolev sense (see [69], Chapter 7). Then,
owing to the results discussed in the preceding paragraphs, applying Theorem
4.2 yields the following:
Theorem 6.2 Consider the stochastic process u(t, x), (t, x) [0, T] R
d
solution of (5.7). We assume:

(1) the functions , b belong to (
and have bounded derivatives of any

order,
(2) there exists
0
0
,
(3) satises the assumptions (H
L
),
(4) there exist > 0, such that for any t (0, 1),
C
1
t
_
t
0
ds
_
R
d
(d)[T(s)()[
2
Then, for any xed (t, x) ]0, T] R
d
, the random variable u(t, x) belongs to
D
, and for any p > 0, E(|Du(t, x)|

p
H
T
) < . Consequently, the probability
law of u(t, x) is absolutely continuous with respect to the Lebesgue measure
on R and has a (
density.
Notice that this result applies to the stochastic wave equation in dimension
d = 1, 2, 3.
61
6.2 Some references
To end this lecture, we mention some references on existence and smoothness
of density of probability laws, as a guide for the reader to have a further
insight into the subject.
The rst application of Malliavin calculus to SPDEs may be found in [51]; it
concerns the hyperbolic equation on R
n
2
st
X(s, t) = A(X(s, t))

W
s,t
+ A
0
(X(s, t)), (6.8)
with s, t ]0, 1] and initial condition X(s, t) = 0 if s t = 0. Here
A : R
n
R
d
R
n
, A
0
: R
n
R
n
,
are smooth functions, and W a d-dimensional Brownian sheet on [0, 1]
2
, that
is, W = (W
s,t
= (W
1
s,t
, . . . W
d
s,t
), (s, t) [0, 1]
2
), with independent Gaussian
components, zero mean and covariance function given by
E(W
i
s
1
,t
1
W
i
s
2
,t
2
) = (s
1
s
2
)(t
1
t
2
),
i = 1, . . . , d.
In dimension n = 1, this equation is transformed into the standard wave
equation after a rotation of forty-ve degrees. Otherwise, (6.8) is an extension
to a two-parameter space of the It o equation. The existence and smoothness
of density for the probability law of the solution to (6.8) at a xed time
parameter (s, t), with s t = 0 has been proved under a specic type of
H ormanders condition on the vector elds A
i
, i = 1, . . . , d, which does not
coincide with Hormanders condition for diusions. An extension to a non
restricted H ormanders condition, that is, including the vector eld A
0
, has
been done in [52].
The one-dimensional wave equation perturbed by space-time white noise, as
an initial value problem but also as a boundary value problem, has been
studied in [13]. The degeneracy conditions on the free terms of the equation
are dierent from those in Theorem 6.2.
Existence for the density of equation (4.1) in dimension one, with L = and
space-time white noise, has been rst studied in [58]. The authors consider
a Dirichlet boundary value problem on [0, 1], with initial condition u(0, x) =
u
0
(x). The required non-degeneracy condition reads as follows:
(u
0
(y)) ,= 0, for some y ]0, 1[. (6.9)
62
The same equation has been analyzed in [3]. In this reference, the authors
consider the random vector (u(t, x
1
), . . . , u(t, x
m
)) obtained by looking at the
solution of the equation at time t ,= 0 and dierent points x
1
, . . . , x
m
]0, 1[.
Under assumption (2) of Theorem 6.2, they obtain the smoothness of the
density.
Recently in [45], this result has been improved. The authors prove that for
m = 1, the assumption 6.9 yields the smoothness of the density as well.
The rst application of Malliavin calculus to SPDEs with correlated noise
appears in [43], and a rst attempt for an unied approach of stochastic heat
and wave equations is done in [37]. H ormanders type conditions in a general
context of Volterra equations have been given in [64].
63
7 Small perturbations of the density
Consider the SPDE (5.1) that we write in its mild form, as in (5.7). We
replace

W(t, x) by

W(t, x), with ]0, 1[ and we are interested in the be-
haviour, as 0 of the solution of the modied equation, that we will
denote by u
. At the moment, this is a very vague plan; roughly speaking,

one would like to know the eect of small noise on a deterministic evolution
equation. Several questions may be addressed. For instance, denoting by
the probability law of the solution u
, we may want to prove a large deviation

principle on spaces where the solution lives.
We recall that a family (
, ]0, 1[) of probability measures on a Polish

space E is said to satisfy a large deviation principle with rate functional I
if I : E [0, ] is a lower semicontinous function such that the level sets
I(x) a are compact, and for any Borel set B E,
inf
x
B
I(x) liminf
0
2
log (
(B)) limsup
0
2
log (
(B)) inf
x
B
I(x).
In many of the applications that have motivated the theory of large devi-
ations, as 0,
degenerates to a delta Dirac measure at zero. Hence,

typically a large deviation principle provides the rate of convergence and an
accurate description of the degeneracy.
Suppose that the measures
live in R
d
and have a density with respect to
the Lebesgue measure. A natural question is whether from a large deviation
principle one could obtain a precise lower and upper bound for the density.
This question has been addressed by several authors in the context of dif-
fusion processes (Azencott, Ben Arous and Leandre, Varadhan, to mention
some of them), and the result is known as the logarithmic estimates and also
as the Varadhan estimates. We recall this result since it is the inspiration for
extensions to SPDEs.
Consider the family of stochastic dierential equations on R
n
(in the
Stratonovich formulation)
X
t
= x +
_
t
0
A(X
s
) dB
s
+
_
t
0
A
0
(X
s
)ds,
t [0, 1], > 0, where A : R
n
R
d
R
n
, A
0
: R
n
R
n
and B is a
d-dimensional Brownian motion. For each h in the Cameron-Martin space
H associated with B, we consider the ordinary (deterministic) equation
S
h
t
= x +
_
t
0
A(S
h
s
)
h
s
ds +
_
t
0
A
0
(S
h
s
)ds,
64
t [0, 1], termed the skeleton of X. For y R
n
, set
d
2
(y) = inf|h|
2
H
; S
h
1
= y
d
2
R
(y) = inf|h|
2
H
; S
h
1
= y, det
S
h
1
> 0,
where
S
h
1
denotes the n-dimensional matrix whose en-
tries are D(S
h
1
)
i
, D(S
h
1
)
j
), i, j = 1, . . . , n. Here D stands for the Frechet
dierential operator on Banach spaces and we assume that the random elds
A
1
, . . . , A
d
(the components of A) and A
0
are smooth enough. Notice that
we use the same notation for the deterministic matrix (D(S
h
1
)
i
, D(S
h
1
)
j
))
i,j
than for the Malliavin matrix. In this context, the former is often termed
the deterministic Malliavin matrix. The quantities d
2
(y), d
2
R
(y) are related
with the energy needed by a system described by the skeleton to leave the
initial condition x R
n
and reach y R
n
at time t = 1.
This is the result for SDEs.
Theorem 7.1 Let A : R
n
R
d
R
n
, A
0
: R
n
R
n
be innite dierentiable
functions with bounded derivatives of any order. Assume:
(HM) There exists k
0
1 such that the vector space spanned by the vector
elds
[A
j
1
, [A
j
k
2
, [. . . [A
j
k
, A
j
0
]] ], 0 k k
0
,
where j
0
1, 2, . . . , d and j
i
0, 1, 2, . . . , d if 1 i k at the point
x R
n
has dimension n.
Then, the random variable X
1
has a smooth density p
, and
d
2
R
(y) liminf
0
2
2
log p
(y) limsup
0
2
2
log p
(y) d
2
(y). (7.1)
In addition, if infdet
S
h
1
; for h such that S
h
1
= y > 0, then d
2
(y) = d
2
R
(y)
and consequently,
lim
0
2
2
log p
(y) = d
2
(y). (7.2)
The assumption (HM) in this theorem is termed Hormanders unrestricted
assumption; the notation [, ] refers to the Lie brackets.
The proof of this theorem given in [11] admits an extension to the general
framework of an abstract Wiener space. This fact has been noticed and
applied in [33], and then written in [47]; since then, it has been applied to
several examples of SPDEs. In this lecture we shall give this general result
65
and then some hints on its application to an example of stochastic heat
equation.
Throughout this section, W(h), h H is a Gaussian family, as has been
dened in Section 3.2. We will consider non-degenerate random vectors F,
which in this context means that F D
and
det
1
F

p[1,[
L
p
(),
where
F
denotes the Malliavin matrix of F. Notice that by Theorem 4.2,
non-degenerate random vectors F have an innitely dierentiable density.
7.1 General results
Lower bound
Proposition 7.1 Let F
, ]0, 1] be a family of non-degenerate n-

dimensional random vectors and let (
p
(H; R
n
) (the space of (
func-
tions with polynomial growth) be such that for each h H, the limit
lim
0
1
_
F
_
+
h
_
(h)
_
= Z(h) (7.3)
exists in the topology of D
and denes a n-dimensional random vector with

absolute continuous distribution.
Then, setting
d
2
R
(y) = inf|h|
2
H
: (h) = y, det
(h)
> 0,
y R
n
, we have
d
2
R
(y) liminf
0
2
log p
(y). (7.4)
Proof: Let y R
n
be such that d
2
R
(y) < . For any > 0 there exists h H
such that (h) = y, det
(h)
> 0 and |h|
2
H
d
2
R
(y) + . For any function
f (
0
(R
n
), we can write
E (f(F
)) = exp
_
|h|
2
H
2
2
_
E
_
f
_
F
_
+
h
__
exp
_
W(h)
__
, (7.5)
by Girsanovs theorem.
66
Consider a smooth approximation of 1 1
[,]
given by a function (
,
0 1, such that (t) = 0, if t / [2, 2], (t) = 1 if t [, ]. Then
using (7.5), and assuming that f is a positive function, we have
E (f(F
)) exp
_
|h|
2
H
+ 4
2
2
_
E
_
f
_
F
_
+
h
__
(W(h))
_
.
We now apply this inequality to a sequence f
n
, n 1, of smooth approxi-
mations of the delta Dirac function at y. Passing to the limit and taking
logarithms, we obtain
2
2
log p
(y) (|h|
2
H
+ 4) + 2
2
log E
_
y
_
F
_
+
h
__
(W(h))
_
.
Hence, to complete the proof we need checking that
lim
0
2
log E
_
y
_
F
_
+
h
__
(W(h))
_
= 0. (7.6)
Since y = (h), we clearly have
E
_
y
_
F
_
+
h
__
(W(h))
_
=
m
E
_
_
0
_
_
F
_
+
h
_
(h)
_
_
(W(h))
_
_
.
The expression
E
_
_
0
_
_
F
_
+
h
_
(h)
_
_
(W(h))
_
_
tends to the density of Z(h) at zero, as 0, as can be proved using the
integration by parts formula (4.9)(4.11). Hence (7.6) holds true and this
ends the proof of the Proposition.
Upper bound
Stating the upper bound for the logarithm of the density needs more de-
manding assumptions. Among others, the family F
, ]0, 1] must satisfy

a large deviation principle, and there should be a control of the norm of the
inverse of the Malliavin matrix in terms of powers of .
67
Proposition 7.2 Let F
, ]0, 1] be a family of non-degenerate n-

dimensional random vectors and let (
p
(H; R
n
) be such that:
1. sup
]0,1]
|F
|
k,p
< , for each integer k 1 and any real number
p ]1, [,
2. For any p ]1, [, there exist
p
> 0 and N(p) ]1, [ such that
|(
F
)
1
|
p

N(p)
, for each integer
p
,
3. F
, ]0, 1] satises a large deviation principle on R

n
with rate func-
tion I(y), y R
n
.
Then,
limsup
0
2
2
log p
(y) I(y). (7.7)

Proof: It is an application of the integration by parts formula (4.9)(4.11).
Indeed, x y R
n
and a smooth function (
0
(R
n
), 0 1 such that
is equal to one in a nighbourhood of y. Then we can write
p
(y) = E ((F
)
y
(F
)) .
Applying Holders inequality with p, q ]1, [ with
1
p
+
1
q
= 1, we obtain
E ((F
)
y
(F
)) = E
_
1 1
{F
y}
H
1,...,1
(F
, (F
))
_
E ([H
1,...,1
(F
, (F
))[)
= E
_
[H
1,...,1
(F
, (F
))[1 1
{F
supp }
_
)
(PF
supp )
1
q
|H
1,...,1
(F
, (F
))|
p
.
By the L
p
estimates of the Skorohod integral (see for instance [79], or Propo-
sition 3.2.2 in [47]), there exist real numbers greater than one, p, a, b, a,
b
and
|H
1,...,1
(F
, (F
))|
p
C|(
F
)
1
|
p
|F
|
a,b
|(F
)|
a,
b
.
The assumptions (1) (2) below ensure
limsup
0
2
2
log |H
1,...,1
(F
, (F
))|
p
= 0,
while (3) implies
limsup
0
2
2
log PF
supp inf(I(y), y supp)

68
and consequently,
limsup
0
2
2
log p
(y)
1
q
inf(I(y), y supp).
Set I(supp) = inf(I(y), y supp). For any > 0, there exists q > 1
such that
1
q
I(supp) I(supp) . Then, by taking a sequence of smooth
functions
n
(with the same properties as ) such that supp
n
decreases to
y, we see that
limsup
0
2
2
log p
(y) I(y) + ,
and since is arbitrary, we obtain (7.7).
This ends the proof.
7.2 An example: the stochastic heat equation

In this section, we consider the SPDE
u(t, x) =
_
t
0
_
R
G(t s, x y)(u(s, y))W(ds, dy)
+
_
t
0
_
R
G(t s, x y)b(u(s, y))dsdy, (7.8)
t [0, T], where G(t, x) = (2t)
1
2
exp
_
|x|
2
2t
_
and W is space-time white
noise. In the framework of Section 5 this corresponds to a stochastic heat
equation in dimension d = 1 and to a spatial covariation measure given by
(dy) =
0
(y).
The companion perturbed family we would like to study is
u
(t, x) =
_
t
0
_
R
G(t s, x y)(u
(s, y))W(ds, dy)

+
_
t
0
_
R
G(t s, x y)b(u
(s, y))dsdy, (7.9)

]0, 1[.
Our purpose is to apply Propositions 7.1 and 7.2 and therefore to obtain
logarithm estimates for the density.
Throughout this section we will assume the following condition, although
some of the results hold under weaker assumptions.
69
(C) The functions , b are (
with bounded derivatives.

The Hilbert space H we should take into account here is the Cameron-Martin
space associated with W. It consists of the set of functions h : [0, T] R R
absolutely continuous with respect to the product Lebesgue measure dtdx
and such that |h|
2
H
:=
_
_
T
0
_
R
[
h
t,x
[
2
dtdx
_1
2
< , where

h
t,x
stands for the
second order derivative

2
h(t,x)
tx
, which exist almost everywhere.
For each h H we consider the deterministic evolution equation
h
(t, x) =
_
t
0
_
R
G(t s, x y)(
h
(s, y))
h(s, y)dsdy
+
_
t
0
_
R
G(t s, x y)b(
h
(s, y))dsdy, (7.10)
Existence and uniqueness of solution for (7.10) is proved in an analogue way
than for (7.8), using a Picard iteration scheme.
Some known results
We quote some known results on (7.8) that shall allow to follow the procedure
explained in the previous section.
1 Non degeneracy and existence of density
Fix (t, x) ]0, T] R. Assume (C) and also
(ND) inf[(y)[, y R c > 0.
Then the family (u
, ]0, 1[) is non-degenerate and therefore the random

variable u
(t, x) possesses a (
density p
.
This result has been proved in [3] (see also sections 5 and 6).
2 Large deviation principle
Large deviation principles for the family (u
, ]0, 1[) in the topology of

H older continuous functions have been established under dierent type of
assumptions by Sowers ([66]) and Chenal and Millet. Here, for the sake of
simplicity we shall consider the topology of uniform convergence on compact
sets and denote by (([0, T] R) the set of continuous functions dened on
[0, T]R with respect to this topology. It is known that (u
, ]0, 1[) satises

a large deviation principle on (([0, T] R) with rate function
I(f) = inf
_
|h|
2
H
2
; h H,
h
= f
_
.
70
This is a functional large deviation principle; the contraction principle (a
transfer principle of large deviations through continuous functionals) gives
rise to the following statement:
Fix (t, x) ]0, T] R. Assuming (C), u
(t, x) satises a large deviation

principle on R with rate function
I(y) = inf
_
|h|
2
H
2
; h H,
h
(t, x) = y
_
, y R. (7.11)
A result for the stochastic heat equation
For the family dened in (7.9), we have the following theorem ([40], Theorem
2.1)
Theorem 7.2 Assume that the functions , b satisfy (C) and also (ND).
Fix (t, x) ]0, T] R and let I : R R be dened in (7.11). Then the
densities (p
t,x
, ]0, 1[) of (u
(t, x, ]0, 1[), satisfy

lim
0
2
log p
t,x
(y) = I(y). (7.12)
.
Proof: We shall consider the abstract Wiener space associated with the space-
time white noise W and check that F
:= u
(t, x), ]0, 1[, satisfy the

assumptions of Propositions 7.1, 7.2. We give some hints for this in the
sequel.
Proposition 7.2, Assumption 1.
Following the results of Section 5, we already know that u(t, x) D
, that
is, |u(t, x)|
k,p
< , for any p [1, [, k N. With the same proof, it is
easy to check that
sup
]0,1[
|u
(t, x)|
k,p
< .
Actually, in the dierent estimates to be checked, appears as a factor that
can be bounded by one.
Set
=
u
(t,x)
and Q
=
2
. Since u
(t, x) is a random variable,
and
Q
are random variables as well. Assume we can prove

sup
]0,1[
E
_
[Q
[
p
_
< , (7.13)
71
for any p [1, [. Then we will have
E
_
[
[
p
_

2p
sup
]0,1[
E
_
[Q
[
p
_
C
2p
,
and we will obtain the desired conclusion with N(p) = 2.
Let us give some hints for the proof of (7.13). Remember that
=
|Du
(t, x)|
2
H
. The Hvalued stochastic process Du
(t, x) satises an equa-

tion similar to (5.16), where is replaced by (and consequently
replaced by
). By uniqueness of solution, it holds that Du
(t, x) =
(u
(., ))Y
(t, x), where Y
(t, x) is a Hvalued stochastic process solution

to the equation
Y
(t, x) = G(t , x ) +
_
t
0
_
R
d
G(t s, x y)
(u
(s, y))Y
(s, y)W(ds, dy)

+
_
t
0
_
R
d
G(t s, x y)b
(u
(s, y))Y
(s, y)dsdy.
Then Q
corresponds to |(u
(., ))Y
(t, x)|
2
H
, which essentially behaves like
|Du(t, x)|
2
H
.
See the result under the heading large deviation principle.
Assumptions of Proposition 7.1.
The non-degeneracy of the family u
(t, x), ]0, 1[ has already been dis-

cussed. Now we will discuss the existence of limit (7.3), which is a hypoth-
esis on existence of directional derivative with respect to . Let us proceed
formally.
For any h H, set Z
,h
(t, x)() = u
(t, x)( +
h
). By uniqueness of solution
Z
,h
(t, x) is given by
Z
,h
(t, x) =
_
t
0
_
R
d
G(t s, x y)
_
(Z
,h
(s, y)W(ds, dy)
+
_
(Z
,h
(s, y)
h
s,y
+ b(Z
,h
(s, y))
_
dsdy
_
.
It is now clear that the candidate for (h) in Proposition 7.1 should be
Z
0,h
(t, x), and by uniqueness of solution Z
0,h
(t, x) =
h
(t, x). Hence, we
have to check that the mapping ]0, 1[ Z
,h
(t, x) is dierentiable at = 0
in the topology of D
. We refer the reader to [33] for a proof of a similar

result.
72
Going on with formal arguments, we see that Z
h
(t, x) :=

Z
,h
(t, x)[
=0
must
be the solution of
Z
h
(t, x) =
_
t
0
_
R
d
G(t s, x y)
_
(
h
(s, y)W(ds, dy)
+
_
(
h
(s, y))
h
s,y
+ b
(
h
(s, y))
_
Z
h
(s, y)dsdy
_
.
This equation does not dier very much from (5.7). As for the latter equation,
one can prove that Z D
. Notice that the stochastic process Z

h
(t, x) does
not appear in the integrand of the stochastic integral.
The Malliavin derivative of Z
h
(t, x) is a deterministic random variable ob-
tained by solving the equation
D
r,z
Z
h
(t, x) = 1 1
{r<t}
_
G(t r, x z)(
h
(r, z))
+
_
t
r
_
R
_
G(t s, x y))
(
h
(s, y))
h
s,y
+ b
(
h
(s, y))
_
D
r,z
Z
h
(s, y)dsdy
_
.
Thus Z
h
(t, x) is a Gaussian random variable. We notice that, by uniqueness
of solution DZ
h
(t, x) = D
h
(t, x).
With this, we nish the checking of the assumptions.
In this example d
2
R
(y) = I(y). In fact, for any h H, det
h > 0. This
property can be proved following the same ideas as for the analysis of the
Malliavin variance |Du(t, x)|
2
H
(see Lemma 2.5 in [40]).
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LMS-EPSRC Short Course

Stochastic Partial Dierential

Remark 2.1 The conclusion in part 2 of the preceding Proposition is quite

is the delta Dirac function

not depending on such that

and thus one naturally thinks of an integration by parts procedure.

(F, G) in (2.1) belongs to L

and that the sequence (

Remark 3.3 Let (

(F, G). For this, we shall

for any j = 1, . . . , n. Assume that

. For any multi-index 1, . . . , n

such that for any function

(F, G) can be dened recursively as follows:

A criterion for smooth densities

(u(s, y))Du(s, y)W(ds, dy)

(u(t s, x y))Du(t s, x y). (5.16)

)[[ +[[b(x, y) b(x, y

Lemma 5.4 Under the standing hypotheses, the sequence Du

(u(s, z))W(ds, dz)

(u(t s, x z)), (5.21)

(u(s, z))U(s, z)W(ds, dz),

Moments of low order

, and assuming that (6.5),

is bounded, the inequality (5.15) yields

An example: the stochastic wave equation in dimension d 3

solution of (5.7). We assume:

Moments of any order

solution of (5.7). We assume:

and have bounded derivatives of any

, and for any p > 0, E(|Du(t, x)|

. At the moment, this is a very vague plan; roughly speaking,

the probability law of the solution u

, we may want to prove a large deviation

, ]0, 1[) of probability measures on a Polish

degenerates to a delta Dirac measure at zero. Hence,

, ]0, 1] be a family of non-degenerate n-

and denes a n-dimensional random vector with

, ]0, 1] must satisfy

, ]0, 1] be a family of non-degenerate n-

, ]0, 1] satises a large deviation principle on R

(y) I(y). (7.7)

supp inf(I(y), y supp)

7.2 An example: the stochastic heat equation

(s, y))W(ds, dy)

(s, y))dsdy, (7.9)

with bounded derivatives.

, ]0, 1[) is non-degenerate and therefore the random

, ]0, 1[) in the topology of

, ]0, 1[) satises

(t, x) satises a large deviation

(t, x, ]0, 1[), satisfy

(t, x), ]0, 1[, satisfy the

(t, x) is a random variable,

are random variables as well. Assume we can prove

(t, x) satises an equa-

). By uniqueness of solution, it holds that Du

(t, x), where Y

(t, x) is a Hvalued stochastic process solution

(s, y)W(ds, dy)