Riesz transform and integration by parts formulas for random variables

Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We use integration by parts formulas to give estimates for the

L^{p}

norm of the Riesz transform. This is motivated by the representation formula for conditional expectations of functionals on the Wiener space already given in Malliavin and Thalmaier. As a consequence, we obtain regularity and estimates for the density of non degenerated functionals on the Wiener space. We also give a semi-distance which characterizes the convergence to the boundary of the set of the strict positivity points for the density.

Review text

Integration by parts formulae on the Wiener space enable to prove representation formulae for the distribution laws of variables. In particular, one can write a formula for the density of a variable \(F\), involving the expectation of \(\partial_i Q_d(F-x)\), where \(Q_d\) is the Poisson kernel on \(\mathbb R^d\setminus\{0\}\). A central point of interest in this work is the estimation of \(\mathbb E(|\partial_i Q_d(F-x)|^d)\). As a consequence, regularity and estimates for the density of \(F\) are obtained, and the set where the density is strictly positive is studied.

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