Generalised Clark-Ocone formulae for differential forms

MaRDI QIDQ2787527zbMATH OpenFDO

Authors Yuxin Yang

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.1194

Mathematics Subject Classification ID

Hodge theory in global analysis (58A14) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65)

Abstract: We generalise the Clark-Ocone formula for functions to give analogous representations for differential forms on the classical Wiener space. Such formulae provide explicit expressions for closed and co-closed differential forms and, as a by-product, a new proof of the triviality of the L^2 de Rham cohomology groups on the Wiener space, alternative to Shigekawa's approach [16] and the chaos-theoretic version [18]. This new approach has the potential of carrying over to curved path spaces, as indicated by the vanishing result for harmonic one-forms in [6]. For the flat path group, the generalised Clark-Ocone formulae can be proved directly using the It^o map.

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Cited in

(4)

• The vanishing of \(L^2\) harmonic one-forms on based path spaces
• Wick product and Clark-Ocone formula in abstract Wiener space
• De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
• Weitzenböck and Clark-Ocone Decompositions for Differential Forms on the Space of Normal Martingales

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