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

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.