Distributional It\^o's Formula and Regularization of Generalized Wiener Functionals

MaRDI QIDQ4569652zbMATH OpenFDO

Authors Takafumi Amaba, Yoshihiro Ryu

Publication date 27 June 2018

Full work available at URL https://arxiv.org/abs/1607.03596, http://alea.impa.br/articles/v15/15-27.pdf

zbMATH Keywords

Malliavin calculusdistributional Itô's formulaHölder continuity of diffusion local timessmoothing effect brought by time-integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35)

Abstract: We investigate Bochner integrabilities of generalized Wiener functionals. We further formulate an It^o formula for a diffusion in a distributional setting, and apply to investigate differentiability-index $s$ and integrability-index $pgeqslant2$ for which the Bochner integral belongs to $mathbb{D}_p^s$.

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