Rademacher's theorem for Wiener functionals (Q2365734): Difference between revisions
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Revision as of 14:32, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rademacher's theorem for Wiener functionals |
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Rademacher's theorem for Wiener functionals (English)
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29 June 1993
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One considers a functional defined on an abstract Wiener space; the equivalence between a Lipschitz continuity property in the directions of the Hilbert space and the existence of a bounded Malliavin derivative is proved. The proof is followed by a discussion about further problems and an application to a uniqueness result in random maximization problems.
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Malliavin calculus
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abstract Wiener space
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Malliavin derivative
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random maximization problems
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