Malliavin calculus and decoupling inequalities in Banach spaces (Q1046492): Difference between revisions

The Malliavin calculus is extended to the setting of Banach space valued random variables via a construction of the Itô-Wiener chaos expansion based on \(\gamma\)-radonifying operators that generalize the notion of tensor product from Hilbert spaces to Banach spaces. The Malliavin derivative operator \(D\) is defined accordingly and shown to be bounded on vector-valued Wiener-Itô chaoses using decoupling inequalities. The Meyer inequalities obtained by G. Pisier for UMD Banach spaces are extended to the framework of \(\gamma\)-radonifying spaces, with application to the continuity of the divergence operator \(\delta\) on Sobolev spaces. Finally, a number of classical identities that are classical in the finite dimensional Malliavin calculus are extended in the Banach sense, including the relation \(F = E[F] + \delta ( D L^{-1} ( E - E[F] ))\) where \(L\) is the number operator, cf. Proposition~6.11. This relation is described as a Clark-Ocone type formula, however this is not totally accurate since in the finite dimensional case it reduces to a well-known identity which is distinct from the Clark formula as it relies on the number operator \(L\) instead of the adapted projection operator.