BV-regularity for the Malliavin derivative of the maximum of the Wiener process

DOI10.1214/ECP.V18-2314zbMATH Open1309.60054arXiv1301.1199WikidataQ62043499 ScholiaQ62043499MaRDI QIDQ742992FDOQ742992

Authors: Dario Trevisan 

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We prove that, on the classical Wiener space, the random variable $su{p}_{0letleT}{W}_t$ admits a measure as second Malliavin derivative, whose total variation measure is finite and singular w.r.t. the Wiener measure.

Full work available at URL: https://arxiv.org/abs/1301.1199

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zbMATH Keywords

Malliavin calculusWiener processBV functions

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Absolutely continuous real functions of several variables, functions of bounded variation (26B30) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cited In (3)

• Title not available (Why is that?)
• On functions of bounded variation on convex domains in Hilbert spaces
• Some fine properties of BV functions on Wiener spaces

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