{"@context":["https://w3id.org/fdo/context/v1",{"schema":"https://schema.org/","prov":"http://www.w3.org/ns/prov#","fdo":"https://w3id.org/fdo/vocabulary/"}],"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q1275944","@type":"DigitalObject","kernel":{"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q1275944","digitalObjectType":"https://schema.org/ScholarlyArticle","primaryIdentifier":"mardi:Q1275944","kernelVersion":"v1","immutable":true,"modified":"2025-12-25T06:52:36Z"},"profile":{"@context":"https://schema.org","@type":"ScholarlyArticle","@id":"https://portal.mardi4nfdi.de/entity/Q1275944","name":"Approximation of the density of a solution of a nonlinear SDE -- application to parabolic SPDEs","headline":"Approximation of the density of a solution of a nonlinear SDE -- application to parabolic SPDEs","description":"scientific article; zbMATH DE number 1240034","url":"https://portal.mardi4nfdi.de/entity/Q1275944","datePublished":"1999-01-14","author":[{"@id":"https://portal.mardi4nfdi.de/entity/Q1304920"}],"publisher":[{"@id":"https://portal.mardi4nfdi.de/entity/Q61365"}],"identifier":{"@type":"PropertyValue","propertyID":"doi","value":"10.1016/S0304-4149(97)00041-0","url":"https://doi.org/10.1016/S0304-4149(97)00041-0"},"sameAs":["https://doi.org/10.1016/S0304-4149(97)00041-0"],"comment":"Let us consider a stochastic differential equation \\[ dX_{t} = b[X_{t},m_{t}] dt + \\sigma [X_{t}, m_{t}] dB_{t} \\tag{1} \\] in \\(\\mathbb R^{d}\\), where \\(B\\) is an \\(m\\)-dimensional Wiener process, \\(m_{t}\\) denotes the law of the random variable \\(X_{t}\\), and the mappings \\(b[y,\\nu ]\\), \\(\\sigma [y,\\nu ]\\) are linear in the measure \\(\\nu \\), that is, \\(b[y,\\nu ] = \\int _{\\mathbb R^{d}} b(y,z) d\\nu (z)\\), \\(\\sigma [y,\\nu ] = \\int _{\\mathbb R^{d}} \\sigma (y,z) d\\nu (z)\\). It is known that under some regularity assumptions on the functions \\(b\\), \\(\\sigma \\) the solution \\(X_{t}\\) has a density \\(p_{t}\\in {\\mathcal C}^\\infty (\\mathbb R^{d})\\) and (1) may be viewed as a limit problem as \\(n\\to \\infty \\) for the following system of weakly interacting diffusions \\[ dX^{i,n}_{t} = b[X^{i,n}_{t},\\mu ^{n}_{t}] dt + \\sigma [X^{i,n}_{t},\\mu ^{n}_{t}] dB^{i}_{t}, \\quad 1\\leq i\\leq n, \\] \\(B^{1},\\ldots ,B^{n}\\) being independent Wiener processes in \\(\\mathbb R^{m}\\) and \\(\\mu ^{n}_{t}\\) denoting the empirical measure \\(n^{-1}\\sum ^{n}_{i=1} \\delta _{X^{i,n}_{t}}\\) [see e.g. \\textit{A. S. Sznitman}, in: Calcul des probabilités. Lect. Notes Math. 1464, 165-251 (1991; Zbl 0732.60114), and the references therein]. Let \\(V^\\varepsilon \\) be a sequence of mollifiers, \\(V^\\varepsilon (y) = \\varepsilon ^{-d}V(\\varepsilon ^{-1}y)\\) for a symmetric \\({\\mathcal C}^\\infty \\)-density \\(V\\) on \\(\\mathbb R^{d}\\), and define \\((\\mu ^{n}_{t}*V^\\varepsilon)(y) = n^{-1}\\sum ^{n} _{i=1} V^\\varepsilon (X^{i,n}_{t}-y)\\). Using probabilistic tools including coupling techniques and Malliavin calculus the author finds an estimate of \\(\\mu ^{n}_{t} * V^\\varepsilon - p_{t}\\) in a suitable Sobolev-type norm. The obtained results are then extended to a stochastic parabolic equation \\[ \\frac {\\partial u}{\\partial t}(t,x) = \\frac {\\partial ^{2}u} {\\partial x^{2}}(t,x) + f[u(t,x),m(t,x)] + g[u(t,x),m(t,x)] \\frac {\\partial ^{2}W}{\\partial t\\partial x}, \\quad 0