Formulas for the divergence operator in isonormal Gaussian space

DOI10.1016/J.SPL.2022.109743MaRDI QIDQ2112270zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 10 January 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.12032

zbMATH Keywords

binomial theoremdivergence operatorHermite polynomialisonormal Gaussian spaceMalliavin derivative

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: In this paper, we first derive some explicit formulas for the computation of the n-th order divergence operator in Malliavin calculus in the one-dimensional case. We then extend these results to the case of isonormal Gaussian space. Our results generalize some of the known results for the divergence operator. Our approach in deriving the formulas is new and simple.

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Cites work

• Introduction to Malliavin calculus
• Malliavin calculus and its applications
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Rate of convergence for the weighted Hermite variations of the fractional Brownian motion

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