A Bismut-Elworthy-Li formula for linear stochastic evolution equations in Banach spaces
Jan van Neerven
Abstract
We prove a Bismut-Elworthy-Li formula for linear stochastic evolution equations in Banach spaces. The admissible directions are those for which the deterministic orbit is square integrable with values in the Hilbertian range of the noise coefficient. Under this square function condition, the derivative of the semigroup is represented by a stochastic integral against an explicit deterministic control. The result is a concrete control realisation of the Cameron--Martin formula for the fixed-time Gaussian transition measures.
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