Localization of Wiener functionals of fractional regularity and applications

DOI10.1016/j.spa.2014.03.010zbMath1348.60082arXiv1304.4316OpenAlexW2065758289MaRDI QIDQ402713

Kai He, Hua Zhang, Jiangang Ren

Publication date: 28 August 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.4316

zbMATH Keywords

Malliavin calculusconvergence ratelocalizationDonsker's delta functionintegration by partsEuler schemeWiener functionalsfractional regularitynon-Markovian stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Estimates of the difference between two probability densities of Wiener functionals and its application ⋮ Dynamical properties of endomorphisms, multiresolutions, similarity and orthogonality relations

Cites Work

• Riesz transform and integration by parts formulas for random variables
• A duality approach for the weak approximation of stochastic differential equations
• Fractional order Sobolev spaces on Wiener space
• Smoothness of stopping times of diffusion processes
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Lipschitz functions and fractional Sobolev spaces
• Positivity and lower bounds for the density of Wiener functionals
• The Malliavin Calculus and Related Topics
• Real Interpolation of Sobolev Spaces on Subdomains of Rn
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Infinite dimensional quasi continuity, path continuity and ray continuity of functions with fractional regularity
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