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

DOI10.1214/ECP.v18-2314zbMath1309.60054arXiv1301.1199WikidataQ62043499 ScholiaQ62043499MaRDI QIDQ742992

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

Wiener process; Malliavin calculus; BV functions

Mathematics Subject Classification ID

60H07: Stochastic calculus of variations and the Malliavin calculus

26B30: Absolutely continuous real functions of several variables, functions of bounded variation

28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)

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