Tools for Malliavin calculus in UMD Banach spaces

Details Tools for Malliavin calculus in UMD Banach spaces Tools for Malliavin calculus in UMD Banach spaces

2012-04-13

arxiv.org/abs/1204.2946v1

Mathematics

Probability

Scientific paper

In this paper we study the Malliavin derivatives and Skorohod integrals for processes taking values in an infinite dimensional space. Such results are motivated by their applications to SPDEs and in particular financial mathematics. Vector-valued Malliavin theory in Banach space E is naturally restricted to spaces E which have the so-called UMD property, which arises in harmonic analysis and stochastic integration theory. We provide several new results and tools for the Malliavin derivatives and Skorohod integrals in an infinite dimensional setting. In particular, we prove weak characterizations, a chain rule for Lipschitz functions, a sufficient condition for pathwise continuity and an Ito formula for non-adapted processes.

Affiliated with

Also associated with

No associations

Rating

Tools for Malliavin calculus in UMD Banach spaces does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Tools for Malliavin calculus in UMD Banach spaces, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Tools for Malliavin calculus in UMD Banach spaces will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-143878