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


 
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1. Title Title of document BV-regularity for the Malliavin derivative of the maximum of the Wiener process
 
2. Creator Author's name, affiliation, country Dario Trevisan; Scuola Normale Superiore, Pisa; Italy
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Malliavin Calculus; BV functions
 
3. Subject Subject classification 60H07; 28C20;
 
4. Description Abstract

We show that, on the classical Wiener space, the random variable $M = \sup_{0\le t \le T} W_t$ admits a measure as second Malliavin derivative, whose total variation measure is finite and singular w.r.t. the Wiener measure.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-04-16
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2314
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2314
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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