Riesz transform and integration by parts formulas for random variables

DOI10.1016/J.SPA.2011.02.006zbMATH Open1229.60069arXiv0911.2631OpenAlexW2034750891WikidataQ105583757 ScholiaQ105583757MaRDI QIDQ544522FDOQ544522

Authors: Vlad Bally, Lucia Caramellino 

Publication date: 15 June 2011

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

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.

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

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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)

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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
• Title not available (Why is that?)
• Convergence in distribution norms in the CLT for non identical distributed random variables

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