Integration by parts on the law of the reflecting Brownian motion

DOI10.1016/J.JFA.2004.08.001MaRDI QIDQ557582zbMATH OpenOpenAlexFDO

Authors L. Zambotti

Publication date 30 June 2005

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0404489

zbMATH Keywords

integration by parts formulae

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65)

Abstract: We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^{e}psilon=X+epsilonh$ with $h$ smooth deterministic function and $epsilon>0$ and we differentiate the law of $X^{e}psilon$ at $epsilon=0$. This infinitesimal perturbation changes drastically the set of zeros of $X$ for any $epsilon>0$. As a consequence, the formula we obtain contains an infinite dimensional generalized functional in the sense of Schwartz, defined in terms of Hida's renormalization of the squared derivative of $B$ and in terms of the local time of $X$ at 0. We also compute the divergence on the Wiener space of a class of vector fields not taking values in the Cameron-Martin space.

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• Analysis and geometry on configuration spaces
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Integration by parts on \(\delta\)-Bessel bridges, \(\delta>3\), and related SPDEs
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Cited in

(13)

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• Integration by parts on the law of the modulus of the Brownian bridge
• Cameron-Martin formula for the \(\sigma \)-finite measure unifying Brownian penalisations
• Bismut-Elworthy's formula and random walk representation for SDEs with reflection
• Bessel SPDEs with general Dirichlet boundary conditions
• Taylor estimates for the laws of pinned Bessel bridges, and integration by parts
• On stochastic differential equations driven by the renormalized square of the Gaussian white noise
• Integration by parts for a Lie group valued Brownian motion
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Integration by parts formulae for the laws of Bessel bridges via hypergeometric functions
• Integration by parts on the Brownian Meander
• Integration by parts for pinned Brownian motion
• Pinned Brownian motion and its perturbations

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