Malliavin calculus on extensions of abstract Wiener spaces
Horst Osswald
J. Math. Kyoto Univ., Tome 48 (2008) no. 4, p. 239-263 / Harvested from Project Euclid
Malliavin calculus is developed in a uniform way for (possibly non separable) extensions of $L^p(W_{C_{\mathbb{F}}})$, where $W_{C_{\mathbb{F}}}$ is the Wiener measure on the space $C_{\mathbb{F}}$ of continuous functions from $[0,1]$ into any abstract Wiener Fréchet space $\mathbb{F}$ over a fixed separable Hilbert space $\mathbb{H}$. Since the continuous time line is available in $C_{\mathbb{F}}$ , we can prove the Clark- Ocone formula for these extensions, we study time-anticipating Girsanov transformations and prove that Skorohod integral processes for finite chaos levels have continuous modifications. We use a rich probability space with measure $\widehat{\Gamma }_{\mathbb{H}}$,which only depends on $\mathbb{H}$, such that for any $p\in [0,\infty [$, $ L^p\left( W_{C_{\mathbb{F}}}\right) $ can be canonically embedded into $L^p\left( \widehat{\Gamma }_{\mathbb{H}}\right) $ for any abstract Wiener Fréchet space $\mathbb{F}$ over $\mathbb{H}$.
Publié le : 2008-05-15
Classification:  55Q99,  55P60,  55P10
@article{1250271411,
     author = {Horst Osswald},
     title = {Malliavin calculus on extensions of abstract Wiener spaces},
     journal = {J. Math. Kyoto Univ.},
     volume = {48},
     number = {4},
     year = {2008},
     pages = { 239-263},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1250271411}
}
Horst Osswald. Malliavin calculus on extensions of abstract Wiener spaces. J. Math. Kyoto Univ., Tome 48 (2008) no. 4, pp.  239-263. http://gdmltest.u-ga.fr/item/1250271411/