Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels
Watanabe, Shinzo
Ann. Probab., Tome 15 (1987) no. 4, p. 1-39 / Harvested from Project Euclid
An analysis of Wiener functionals is studied as a kind of Schwartz distribution theory on Wiener space. For this, we introduce, besides ordinary $L_p$-spaces of Wiener functionals, Sobolev-type spaces of (generalized) Wiener functionals. Any Schwartz distribution on $\mathbf{R}^d$ is pulled back to a generalized Wiener functional by a $d$-dimensional Wiener map which is smooth and nondegenerate in the sense of Malliavin. As applications, we construct a heat kernel (i.e., the fundamental solution of a heat equation) by a generalized expectation of the Dirac delta function pulled back by an Ito map, i.e., a Wiener map obtained by solving Ito's stochastic differential equations. Short-time asymptotics of heat kernels are studied through the asymptotics, in terms of Sobolev norms, of the generalized Wiener functional under the expectation.
Publié le : 1987-01-14
Classification:  Sobolev spaces of Wiener functionals,  generalized Wiener functionals,  pull-back of Schwartz distributions,  asymptotic expansion of Wiener functionals,  heat kernels,  short-time asymptotics,  60H10,  28C20,  35K05
@article{1176992255,
     author = {Watanabe, Shinzo},
     title = {Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1-39},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992255}
}
Watanabe, Shinzo. Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels. Ann. Probab., Tome 15 (1987) no. 4, pp.  1-39. http://gdmltest.u-ga.fr/item/1176992255/