Integration by parts on the law of the reflecting Brownian motion (Q557582): Difference between revisions
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If \(X=| B| \) is a reflecting Brownian motion, consider the perturbed path \(X^\varepsilon=X+\varepsilon h\) for a smooth deterministic function \(h\). The aim of this article is to write the integration by parts formula deduced from the differentiation of the law of \(X^\varepsilon\) at \(\varepsilon=0\). In contrast to classical Malliavin's calculus, it appears that the law of \(X^\varepsilon\) is not absolutely continuous with respect to the law of \(X\). Consequently the integration by parts formula contains a generalized variable involving Hida's square of white noise. This question is also closely related to the computation on the Wiener space of the divergence of some vector fields which do not take values in the Cameron-Martin space. | |||
| Property / review text: If \(X=| B| \) is a reflecting Brownian motion, consider the perturbed path \(X^\varepsilon=X+\varepsilon h\) for a smooth deterministic function \(h\). The aim of this article is to write the integration by parts formula deduced from the differentiation of the law of \(X^\varepsilon\) at \(\varepsilon=0\). In contrast to classical Malliavin's calculus, it appears that the law of \(X^\varepsilon\) is not absolutely continuous with respect to the law of \(X\). Consequently the integration by parts formula contains a generalized variable involving Hida's square of white noise. This question is also closely related to the computation on the Wiener space of the divergence of some vector fields which do not take values in the Cameron-Martin space. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Jean Picard / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H07 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 2183824 / rank | |||
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| Property / zbMATH Keywords | |||
integration by parts formulae | |||
| Property / zbMATH Keywords: integration by parts formulae / rank | |||
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Revision as of 14:06, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integration by parts on the law of the reflecting Brownian motion |
scientific article |
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Integration by parts on the law of the reflecting Brownian motion (English)
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30 June 2005
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If \(X=| B| \) is a reflecting Brownian motion, consider the perturbed path \(X^\varepsilon=X+\varepsilon h\) for a smooth deterministic function \(h\). The aim of this article is to write the integration by parts formula deduced from the differentiation of the law of \(X^\varepsilon\) at \(\varepsilon=0\). In contrast to classical Malliavin's calculus, it appears that the law of \(X^\varepsilon\) is not absolutely continuous with respect to the law of \(X\). Consequently the integration by parts formula contains a generalized variable involving Hida's square of white noise. This question is also closely related to the computation on the Wiener space of the divergence of some vector fields which do not take values in the Cameron-Martin space.
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integration by parts formulae
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