The Malliavin calculus

Diffusion processes and stochastic analysis on manifolds (58J65) Continuity and singularity of induced measures (60G30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25)

Review text

Let w denote the Wiener process \(\{w_ t,0\leq t\leq T\}\) and let F(w) be a square integrable functional of the Wiener process. The author gives another approach to the Malliavin calculus starting from the Wiener chaos decomposition by multiple Wiener-Itô integrals and not from the infinite dimensional Ornstein-Uhlenbeck process. Suppose F(w) is given by \[ F(w)=\sum^{\infty}_{m=0}\int^{T}_{0}\int^{t_ m}_{0}...\int^{t_ 2}_{0}f_ m(t_ 1,t_ 2,...,t_ m)dw_{t_ 1}...dw_{t_ m}. \] The author defines F(\(\lambda\) w) for \(| \lambda | <1\) as \[ F(\lambda w)=\sum^{\infty}_{m=0}\lambda^ m\int^{T}_{0}\int^{t_ m}_{0}...\int^{t_ 2}_{0}f_ m(t_ 1,t_ 2,...,t_ m)dw_{t_ 1}...dw_{t_ m} \] and the Malliavin derivative by the \(L^ 2\)-limit for \(\epsilon\to 0\) of \(\epsilon^{-1}(F(w)-F((1- \epsilon)w))\) which can also be interpreted as \(\partial F(\lambda w)/\partial \lambda |_{\lambda =1}\). He compares his approach for example with \textit{I. Shigekawa} [J. Math. Kyoto Univ., 20, 263-289 (1980; Zbl 0476.28008)] and \textit{D. W. Stroock} [Ecole d'été de probabilités de Saint Flour XI-1981, Lect. Notes Math. 976, 267-382 (1983; Zbl 0494.60060)] on the one hand side and with \textit{J. M. Bismut} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 56, 469-505 (1981; Zbl 0445.60049)] on the other side. It is shown, that the two methods are not equivalent and conditions are given under which both approaches can be considered as essentially the same.

Recommendations

Cites work

Cited in

(54)

This page was built for publication: The Malliavin calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q802208)