White-noise approach to Malliavin's calculus (Q579746): Difference between revisions

In this paper it is shown how the fundamental relation of the Malliavin calculus [see \textit{P. Malliavin, Proc. int. Symp. on stochastic differential equations, Kyoto 1976, 195-263 (1978; Zbl 0411.60060) and \textit{D. Stroock}}, Stochastic integrals, Proc. LMS Durham Symp. 1980, Lect. Notes Math. 851, 394-432 (1981; Zbl 0459.60052)] can be conveniently formulated and derived in the white noise calculus of \textit{T. Hida} [Brownian motion. (1980; Zbl 0432.60002)]. To this end the chain rule for Hida's \(\partial_ t\)-derivatives - formally speaking the Fréchet derivatives w.r.t. white noise at time t - is proved. As an illustration of the formalism some computations in Stroock's paper cited above are redone within the white noise framework, yielding conveniently the same results.