Chaotic extensions and the lent particle method for Brownian motion (Q388931)

The authors propose a new method to calculate Malliavin derivatives on Wiener spaces. Similarly as in their previous work on the Poisson space, their approach is based on the ``lent particle method'' of adding a single jump to the process and then deriving with respect to the size of this jump. This leads beyond the continuous elements of the usual Cameron-Martin space; the resulting technical problems are overcome by means of chaotic extensions of Wiener functionals to a normal martingale weighted combination of a Brownian motion and a Poisson process.