A calculus on Fock space and its probabilistic interpretations (Q1283599)

For \(h\in L^2(\mathbb{R}_+)\) such that \(\| h\|_\infty< 1\), set \(\nu_h(t):= t+\int_0^t h(s)ds\), and consider the time change \(T_h\omega:= \omega\circ \nu_h^{-1}\) on trajectories \(\omega\), the derivative \(\theta_hF:= \lim_{\varepsilon \searrow 0}\frac{1}{\varepsilon} (F_0 T_{\varepsilon h}-F)\), and the gradient \(\theta^-\) defined by \(\int_0^\infty h(t) \theta_t^-F dt= \theta_hF\) \((\forall h\in L^2\cap L^\infty)\). This makes sense on both Wiener and Poisson spaces, and \(\theta_t^-\) is analogous to the usual gradient \(\nabla_t^-\) associated to the Malliavin derivative \(D_h\) on Wiener space, and to the gradient \(\widetilde{\nabla}_t^-:= \delta_{N_.+1_{[t,\infty[}}- \delta_{N_.}\) on Poisson space. Consider then the operator \(\nabla^\Theta\) defined by \(\theta^-+ \frac{1}{2} \nabla^-\nabla^-\) in the Wiener case and by \(\theta^-+ {\widetilde{\nabla}^-}\) in the Poisson case, and take it as an operator on the symmetric Fock space by means of the usual isometries. The author shows that \(\nabla^\Theta\) is given in both cases by \(\nabla_t^\Theta f^{\circ n}= nf^{\circ(n-1)}\circ f_{[t}'\). Its adjoint is easily computed.