Weak differentiability of Wiener functionals and occupation times

DOI10.1016/J.BULSCI.2018.07.001MaRDI QIDQ1990962zbMATH OpenOpenAlexFDO

Authors Dorival Leão, Alberto Ohashi, Alexandre B. Simas

Publication date 29 October 2018

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.10895

zbMATH Keywords

\((p, q)\)-bivariation\(p\)-variationBrownian motionlocal-timesWiener functionalsYoung integral

Mathematics Subject Classification ID

Stochastic analysis (60H99)

Abstract: In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le~ao, Ohashi and Simas. It is shown that any Dirichlet process (in particular semimartingales) is a differential form w.r.t Brownian motion driving noise. The drift components are characterized in terms of limits of integral functionals of horizontal-type perturbations and first-order variation driven by a two-parameter occupation time process. Applications to a class of path-dependent rough transformations of Brownian paths under finite $p$-variation ($pge2$) regularity is also discussed. Under stronger regularity conditions in the sense of finite $(p,q)$-variation, the connection between weak differentiability and two-parameter local time integrals in the sense of Young is established.

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Cited in

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• A weak version of path-dependent functional Itô calculus
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