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

DOI10.1214/ECP.V18-2314MaRDI QIDQ742992zbMATH OpenWikidataFDO

Authors Dario Trevisan

Publication date 22 September 2014

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

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

zbMATH Keywords

BV functionsMalliavin calculusWiener process

Mathematics Subject Classification ID

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) Stochastic calculus of variations and the Malliavin calculus (60H07)

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.

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Cited in

(3)

• On functions of bounded variation on convex domains in Hilbert spaces
• scientific article; zbMATH DE number 1304731 (Why is no real title available?)
• Some fine properties of BV functions on Wiener spaces

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