Nonlinear transformations on the Wiener space

DOI10.1214/AOP/1176989015MaRDI QIDQ1317238zbMATH OpenOpenAlexFDO

Authors Andrew Lyasoff

Publication date 3 January 1995

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989015

zbMATH Keywords

abstract Wiener spaceCameron-Martin- Girsanov formulaCarleman-Fredholm determinantfactorization techniqueGokhberg-Krejn factorizationintegral kernelsMalliavin derivativeSkorokhod integraltransformations of Wiener measure

Mathematics Subject Classification ID

Measures and integration on abstract linear spaces (46G12) (Semi-) Fredholm operators; index theories (47A53) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Probability measures on topological spaces (60B05) Probability theory on linear topological spaces (60B11) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Review text

The author studies transformations on an abstract Wiener space \((E, H, \mu)\) which have the form \[ E\ni w\to S(w)= w- \int^ T_ 0 \varphi_ t (w) Z(dt)\in E, \] where \(\varphi_ t(w)\) is a scalar function on \([0,T]\times E\) and \(Z\) is an orthogonal \(H\)-valued measure. Assuming that \(\varphi\in \mathbb{L}^{1,2}\) and that the Malliavin derivative \(D\varphi\) of \(\varphi\) is such that \(| D\varphi (w)|_{H,S} <1\), \(\mu(dw)\)-a.e., the author applies a special factorization technique developed by Gokhberg and Krejn (1970) to express explicitly the Carleman-Fredholm determinant which occurs in Kusuoka's formula (1982) of the density \(R_ \varphi\) of the image of \(\mu\) under \(S\) w.r.t. \(\mu\) as exponential of the product of two integral kernels. This approach works also in cases where \(S\) is not invertible. The main result, stated under the assumptions presented above, constitutes an anticipative analogon of the Cameron-Martin-Girsanov formula: if \(R_ \varphi\) has the expectation 1 under \(\mu\), then \((R_ \varphi\mu)\cdot S^{-1} =\mu\). This generalizes also a paper of the reviewer (1991) who has determined explicitly the integral kernels from the factorization of the Carleman-Fredholm determinant under the assumption \(\text{ess sup}_{w\in E} | D_ \varphi (w)|_{H\cdot S} <1\).

Recommendations

• scientific article; zbMATH DE number 16925
• On transformations of Wiener space
• Publication:5751676
• A nonlinear deformation of Wiener space
• On a flow of transformations of a Wiener space
• Transformation of the Wiener measure under non-invertible shifts

Cited in

(16)

• When does the Ramer formula look like the Girsanov formula?
• Transformation of Wiener measure under anticipative flows
• Differentiable measures and the Malliavin calculus
• Nonlinear transformations of the canonical Gauss measure on Hilbert space and absolute continuity
• A generalization of the Buckdahn-Föllmer formula for composite transformations defined by finite dimensional substitution
• Gaussian measures on linear spaces
• Randomness and nonlinear evolution equations
• scientific article; zbMATH DE number 3868343 (Why is no real title available?)
• scientific article; zbMATH DE number 4135089 (Why is no real title available?)
• scientific article; zbMATH DE number 140587 (Why is no real title available?)
• The Wiener transform on the Besicovitch spaces
• Some sufficient conditions for Novikov's criterion
• scientific article; zbMATH DE number 1837538 (Why is no real title available?)
• scientific article; zbMATH DE number 232923 (Why is no real title available?)
• ON LEBESGUE NONLINEAR TRANSFORMATIONS
• scientific article; zbMATH DE number 4186758 (Why is no real title available?)

This page was built for publication: Nonlinear transformations on the Wiener space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1317238)