Riesz transform and integration by parts formulas for random variables

DOI10.1016/J.SPA.2011.02.006MaRDI QIDQ544522zbMATH OpenOpenAlexWikidataFDO

Authors Vlad Bally, Lucia Caramellino

Publication date 15 June 2011

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

Full work available at URL https://arxiv.org/abs/0911.2631

zbMATH Keywords

Malliavin calculusRiesz transformSobolev spacesintegration by parts

Mathematics Subject Classification ID

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

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.

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Cited in

(13)

• Localization of Wiener functionals of fractional regularity and applications
• Normal approximation on a finite Wiener chaos
• On probability laws of solutions to differential systems driven by a fractional Brownian motion
• Tube estimates for diffusion processes under a weak Hörmander condition
• Integration by parts formulas and regularity of probability laws
• Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation
• On integration by parts formula on open convex sets in Wiener spaces
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
• Integration by parts formulas and the Riesz transform
• Hölder continuity of the solutions to a class of SPDE's arising from branching particle systems in a random environment
• Existence and smoothness of the density for the stochastic continuity equation
• scientific article; zbMATH DE number 1003157 (Why is no real title available?)
• Convergence in distribution norms in the CLT for non identical distributed random variables

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