Representation of the distributions on Wiener space and stochastic calculus of variations (Q5966466): Difference between revisions
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Latest revision as of 21:16, 19 March 2024
scientific article; zbMATH DE number 4040578
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English | Representation of the distributions on Wiener space and stochastic calculus of variations |
scientific article; zbMATH DE number 4040578 |
Statements
Representation of the distributions on Wiener space and stochastic calculus of variations (English)
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1987
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This work is devoted to prove the following results 1) Extension of the Itô integral to the adapted distributions on the Wiener space. 2) To extend the Itô Representation Theorem to the scalar distributions on the Wiener space. 3) As an application we show that the Clark's formula holds for all the scalar distributions on the Wiener space. 4) Using the representation result of (3), to calculate explicitly the kernel of the divergence operator extended to the vector-valued distributions on the Wiener space. In spite of the fact that we work on the classical Wiener space, all these results are also true for the distributions on an abstract Wiener space if one defines as time the spectrum of the Von-Neumann algebra associated to a self-adjoint operator defined on the associated Cameron- Martin Space [cf ``Construction du calcul stochastique sur un espace de Wiener abstrait''. C. R. Acad. Sci., Paris, Série I 305, 279-282 (1987)].
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Itô integral
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adapted distributions on the Wiener space
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Itô Representation Theorem
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Clark's formula
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Cameron-Martin Space
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