Differentiability of semigroups of stochastic differential equations with Hölder-continuous diffusion coefficients

Abstract

Differentiability of semigroups is useful for many applications. Here we focus on stochastic differential equations whose diffusion coefficient is the square root of a differentiable function but not differentiable itself. For every $m\in \{0,1,2\}$ we establish an upper bound for a $C^m$-norm of the semigroup of such a diffusion in terms of the $C^m$-norms of the drift coefficient and of the squared diffusion coefficient. The constants in our upper bound are often dimension-independent. Our estimates are thus suitable for analyzing certain high-dimensional and infinite-dimensional degenerate stochastic differential equations.

12 pages