Representation of the distributions on Wiener space and stochastic calculus of variations (Q5966466): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Set OpenAlex properties.
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/0022-1236(87)90127-3 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2057384397 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 21:16, 19 March 2024

scientific article; zbMATH DE number 4040578
Language Label Description Also known as
English
Representation of the distributions on Wiener space and stochastic calculus of variations
scientific article; zbMATH DE number 4040578

    Statements

    Representation of the distributions on Wiener space and stochastic calculus of variations (English)
    0 references
    1987
    0 references
    This work is devoted to prove the following results 1) Extension of the Itô integral to the adapted distributions on the Wiener space. 2) To extend the Itô Representation Theorem to the scalar distributions on the Wiener space. 3) As an application we show that the Clark's formula holds for all the scalar distributions on the Wiener space. 4) Using the representation result of (3), to calculate explicitly the kernel of the divergence operator extended to the vector-valued distributions on the Wiener space. In spite of the fact that we work on the classical Wiener space, all these results are also true for the distributions on an abstract Wiener space if one defines as time the spectrum of the Von-Neumann algebra associated to a self-adjoint operator defined on the associated Cameron- Martin Space [cf ``Construction du calcul stochastique sur un espace de Wiener abstrait''. C. R. Acad. Sci., Paris, Série I 305, 279-282 (1987)].
    0 references
    Itô integral
    0 references
    adapted distributions on the Wiener space
    0 references
    Itô Representation Theorem
    0 references
    Clark's formula
    0 references
    Cameron-Martin Space
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references