Composition with distributions of Wiener-Poisson variables and its asymptotic expansion (Q2883883)

Watanabe has introduced and studied generalised functionals of type \(T\circ F\) on the Wiener space, where \(T\) is a tempered distribution and \(F\) is a non-degenerate smooth (in the sense of Malliavin's calculus) functional. The aim of this article is to generalise this type of functionals to the Wiener-Poisson space (functionals of Lévy processes), by means of the Malliavin calculus on this space. The authors also study asymptotic expansions in powers of \(\epsilon\) of \(T\circ F(\epsilon)\), where \(F(\epsilon)\) itself has an expansion. They apply their results to solutions of canonical stochastic differential equations with small noise.