A clark-ocone formula in UMD Banach spaces

DOI10.1214/ECP.V13-1361MaRDI QIDQ1038867zbMATH OpenOpenAlexFDO

Authors Jan Maas, Jan van Neerven

Publication date 20 November 2009

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.2021, https://eudml.org/doc/228234, http://www.emis.de/journals/EJP-ECP/_ejpecp/ECP/viewarticled65a.html

zbMATH Keywords

\(\gamma \)- radonifying operators\(\gamma \)-boundednessclark-ocone formulaMalliavin calculusskorokhod integralStein inequalityUMD spaces

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: Let H be a separable real Hilbert space and let F = (F_t)_{tin [0,T]} be the augmented filtration generated by an H-cylindrical Brownian motion W_H on [0,T]. We prove that if E is a UMD Banach space, 1leq p<infty, and fin D^{1,p}(E) is F_T-measurable, then f = E f + int_0^T P_F(Df) dW_H where D is the Malliavin derivative and P_F is the projection onto the F-adapted elements in a suitable Banach space of L^p-stochastically integrable L(H,E)-valued processes.

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Cited in

(12)

• Malliavin calculus and decoupling inequalities in Banach spaces
• Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas
• On the Clark Ocone formula for the abstract Wiener space
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Tools for Malliavin calculus in UMD Banach spaces
• On functionals of the Wiener process in a Banach space
• Corrigendum to ``The Clark-Ocone formula for vector valued Wiener functionals [J. Funct. Anal. 229 (2005) 143-154]
• Irreducibility and strong Feller property for stochastic evolution equations in Banach spaces
• Banach space valued functionals of the Wiener process
• Forward integration, convergence and non-adapted pointwise multipliers
• A version of the Hörmander-Malliavin theorem in 2-smooth Banach spaces
• Central limit theorems for stochastic wave equations in high dimensions

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