A note on the Malliavin-Sobolev spaces

DOI10.1016/J.SPL.2015.08.020zbMATH Open1329.60170arXiv1501.01777OpenAlexW1829242801MaRDI QIDQ899630FDOQ899630

Authors: P. Imkeller, Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac 

Publication date: 30 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In this paper, we provide a strong formulation of the stochastic G{^a}teaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Malliavin-Sobolev spaces. We also give a new internal structure of these spaces in the sense of sets inclusion.

Full work available at URL: https://arxiv.org/abs/1501.01777

Recommendations

• Sobolev spaces of Wiener functionals and Malliavin's calculus
• On the Malliavin differentiability of BSDEs
• scientific article; zbMATH DE number 4065681
• On a characterization of the Sobolev spaces over an abstract Wiener space
• scientific article; zbMATH DE number 124389

zbMATH Keywords

Malliavin calculusWiener spaceMalliavin-Sobolev spacesstochastic Gâteaux differentiability

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35)

Cites Work

• Gaussian Hilbert Spaces
• On a characterization of the Sobolev spaces over an abstract Wiener space
• Differentiable measures and the Malliavin calculus
• Derivatives of Wiener functionals and absolute continuity of induced measures
• A note on the de La Vallée Poussin criterion for uniform integrability
• Transformation of the Wiener measure under non-invertible shifts
• Unions of Lebesgue spaces and \(A_1\) majorants

Cited In (4)

• Differentiability of SDEs with drifts of super-linear growth
• Sobolev and Besov classes on infinite-dimensional spaces
• Sobolev spaces of Wiener functionals and Malliavin's calculus
• Title not available (Why is that?)

This page was built for publication: A note on the Malliavin-Sobolev spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q899630)