On generalized Malliavin calculus

DOI10.1016/J.SPA.2011.11.003MaRDI QIDQ765878zbMATH OpenOpenAlexFDO

Authors Dora Seleši, S. V. Lototsky, B. Rozovskii

Publication date 22 March 2012

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

Full work available at URL https://doi.org/10.1016/j.spa.2011.11.003

generalized stochastic processes Malliavin operators Sobolev chaos spaces stochastc PDEs

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random operators and equations (aspects of stochastic analysis) (60H25)

Review text

The existence of simple SPDEs for which any solution must have an infinite energy motivates the authors to consider a generalization of the Malliavin calculus to Sobolev weighted chaos spaces. Namely, given independent standard Gaussian variables \((\xi_j)\) and a sequence of (multi-indexed) positive weights \((r_\alpha)\), they consider the random elements \(u= \sum_\alpha u_\alpha\xi_\alpha\) with \(\sum_\alpha r^2_\alpha|u_\alpha|^2<\infty\) (a typical example \(r_\alpha= (\alpha!)^\rho q^\alpha\)). Then, the basic operators of Malliavin calculus read \[ \begin{aligned} D_u(v) &:= \sum_{\alpha,\beta} \sqrt{{\alpha+\beta\choose\beta}} (v_{\alpha+\beta}\otimes u_\beta)\xi_\alpha,\\ \delta_u(v) &:= \sum_{\beta\leq\alpha} \sqrt{{\alpha\choose \beta}}\langle v_\beta, u_{\alpha-\beta}\rangle \xi_\alpha,\\ L_u(v) &:= \sum_{\alpha,\beta,\gamma} \sqrt{{\alpha\choose \beta}{\beta+\gamma\choose \beta}}\langle u_\gamma, u_{\alpha-\beta}\rangle v_{\beta+ \gamma}\xi_\alpha,\end{aligned} \] as long as the series converge. The authors specify convergence conditions, and inequalities yielding continuity of the above operators (in suitable chaos spaces), mainly in the example quoted above. Finally, they address associated differential equations, and yield sufficient conditions for existence and uniqueness, in appropriate chaos spaces, and, further, discuss some examples.

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