Substitution to parametrized generalized Wiener functionals and pinned Brownian local times (Q5956289): Difference between revisions

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Latest revision as of 22:01, 3 June 2024

scientific article; zbMATH DE number 1709003
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English
Substitution to parametrized generalized Wiener functionals and pinned Brownian local times
scientific article; zbMATH DE number 1709003

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    Substitution to parametrized generalized Wiener functionals and pinned Brownian local times (English)
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    20 February 2002
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    The paper establishes a precise relationship between the local time \(L(T,x)\), \(x\in \mathbb{R}^N\), of an \(N\)-dimensional Brownian motion \(B\) and the local time \(L(T,x;y)\), \(x\in \mathbb{R}^N\), of an \(N\)-dimensional Brownian motion conditioned to reach \(y\in \mathbb{R}^N\) at time 1. Formally, this relationship should clearly be given by \(L(T,x)= L(T,x;B_1)\). \(L\) taking values in some Sobolev space of negative order for \(N>1\), for the rigorous justification of this formula the author employs Malliavin's stochastic calculus for generalized functions. He shows that the formula relating the local times is a consequence of a more general substitution formula \(\Phi(F)= \int_{\mathbb{R}^N} \Phi(x) \delta_x(F)dx\), established for a non-degenerate Wiener functional \(F\) giving meaning to the distribution \(\delta_x(F)\), and a parametrized family \((\Phi(x): x\in \mathbb{R}^N)\) of non-degenerate Wiener functionals. In this context, multiplication of generalized random functions in Malliavin's sense has to be discussed.
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    \(N\)-dimensional Brownian motion
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    Malliavin's calculus
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    local time
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    Wiener functionals
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