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scientific article; zbMATH DE number 124389
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scientific article; zbMATH DE number 124389 |
Statements
21 February 1993
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Malliavin calculus
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Ornstein-Uhlenbeck operators
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Sobolev norms
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0.8394553065299988
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[For the entire collection see Zbl 0746.00063.] The aim is to establish Malliavin calculus directly on any probability space endowed with a space of Gaussian variables, rather than on an abstract Wiener space. This calculus is based on a set of simple variables which are polynomial functions of the Gaussian variables; gradient, divergence and Ornstein-Uhlenbeck operators are defined and studied in this setting. Groups of operators associated to the Ornstein- Uhlenbeck operator are used to define Sobolev norms and generalized functions. This paper is written with precise definitions and proofs, so that it is a self-contained exposition of the subject.
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