Applications of the degree theorem to absolute continuity on Wiener space

Summary Let (,H, P) be an abstract Wiener space and define a shift on byT()=+F() whereF is anH-valued random variable. We study the absolute continuity of the measuresPºT ^–1and ( _F P)ºT ¹ with respect toP using the techniques of the degree theory of Wiener maps, where _F =det₂(1+F) × Exp{–F–1/2|F|²}.The work of the second author was supported by the fund for promotion of research at the Technion     

Transformation of the Wiener measure under non-invertible shifts

Summary In this paper we consider the transformation of measure induced by a not-necessarily-invertible perturbation of the identity. The Radon-Nikodym density for the image of the Wiener measure and the associated Girsanov-type density are derived. An application of these results yields an extension of the degree theorem.     

Measures induced on Wiener space by monotone shifts

Summary In this work we study the absolute continuity of the image of the Wiener measure under the transformations of the formT()=+u(), the shiftu is a random variable with values in the Cameron-Martin spaceH and is monotone in the sense that (T(+h-T(),h) _H 0 a.s. for allh inH.     

Degree theory on Wiener space

Summary. Let (W, H, μ) be an abstract Wiener space and let Tw  =  w + u (w), where u is an H-valued random variable, be a measurable transformation on W. A Sard type lemma and a degree theorem for this setup are presented and applied to derive existence of solutions to elliptic stochastic partial differential equations. Received: 19 March 1996 / In revised form: 7 January 1997     

Comparison inequalities on Wiener space

We define a covariance-type operator on Wiener space: for F$F$ and G$G$ two random variables in the Gross–Sobolev space D^1,2${\mathbb{D}}^{1,2}$ of random variables with a square-integrable Malliavin derivative, we let _ΓF,G?〈DF,−DL⁻¹G〉${\Gamma }_{F,G}?〈{DF,-DL}^{-1}G〉$, where D$D$ is the Malliavin derivative operator and L⁻¹$L^{-1}$ is the pseudo-inverse of the generator of the Ornstein–Uhlenbeck semigroup. We use Γ$\Gamma$ to extend the notion of covariance and canonical metric for vectors and random fields on Wiener space, and prove corresponding non-Gaussian comparison inequalities on Wiener space, which extend the Sudakov–Fernique result on comparison of expected suprema of Gaussian fields, and the Slepian inequality for functionals of Gaussian vectors. These results are proved using a so-called smart-path method on Wiener space, and are illustrated via various examples. We also illustrate the use of the same method by proving a Sherrington–Kirkpatrick universality result for spin systems in correlated and non-stationary non-Gaussian random media.     

Almost sure central limit theorems on the Wiener space

In this paper, we study almost sure central limit theorems for sequences of functionals of general Gaussian fields. We apply our result to non-linear functions of stationary Gaussian sequences. We obtain almost sure central limit theorems for these non-linear functions when they converge in law to a normal distribution.     

On Wiener functionals of order 2 associated with soliton solutions of the KdV equation

The eigenvalues and eigenvectors of the Hilbert-Schmidt operators corresponding to the Wiener functionals of order 2, which give a rise of soliton solutions of the KdV equation, are determined. Two explicit expressions of the stochastic oscillatory integral with such Wiener functional as phase function are given; one is of infinite product type and the other is of Lévy's formula type. As an application, the asymptotic behavior of the stochastic oscillatory integral will be discussed.     

FBSDEs with time delayed generators: L-solutions, differentiability, representation formulas and path regularity

We extend the work of Delong and Imkeller (2010) [6] and [7] concerning backward stochastic differential equations with time delayed generators (delay BSDEs). We give moment and a priori estimates in general L^p-spaces and provide sufficient conditions for the solution of a delay BSDE to exist in L^p. We introduce decoupled systems of SDEs and delay BSDEs (delay FBSDEs) and give sufficient conditions for their variational differentiability. We connect these variational derivatives to the Malliavin derivatives of delay FBSDEs via the usual representation formulas. We conclude with several path regularity results, in particular we extend the classic L²-path regularity to delay FBSDEs.     

Fractional order Sobolev spaces on Wiener space

Summary Fractional order Sobolev spaces are introduced on an abstract Wiener space and Donsker's delta functions are defined as generalized Wiener functionals belonging to Sobolev spaces with negative differentiability indices. By using these notions, the regularity in the sense of Hölder continuity of a class of conditional expectations is obtained.     

Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus

Summary. The analytic treatment of problems related to the asymptotic behaviour of random dynamical systems generated by stochastic differential equations suffers from the presence of non-adapted random invariant measures. Semimartingale theory becomes accessible if the underlying Wiener filtration is enlarged by the information carried by the orthogonal projectors on the Oseledets spaces of the (linearized) system. We study the corresponding problem of preservation of the semimartingale property and the validity of a priori inequalities between the norms of stochastic integrals in the enlarged filtration and norms of their quadratic variations in case the random element F enlarging the filtration is real valued and possesses an absolutely continuous law. Applying the tools of Malliavin’s calculus, we give smoothness conditions on F under which the semimartingale property is preserved and a priori martingale inequalities are valid. Received: 12 April 1995 / In revised form: 7 March 1996     

The Clark-Ocone formula for vector valued Wiener functionals

The classical representation of random variables as the Itô integral of nonanticipative integrands is extended to include Banach space valued random variables on an abstract Wiener space equipped with a filtration induced by a resolution of the identity on the Cameron-Martin space. The Itô integral is replaced in this case by an extension of the divergence to random operators, and the operators involved in the representation are adapted with respect to this filtration in a suitably defined sense.A complete characterization of measure preserving transformations in Wiener space is presented as an application of this generalized Clark-Ocone formula.     

Feynman path integrals as analysis on path space by time slicing approximation

Using the time slicing approximation, we give a mathematically rigorous definition of Feynman path integrals for a general class of functionals on the path space. As an application, we prove the interchange with Riemann-Stieltjes integrals, the interchange with a limit, the perturbation expansion formula, the semiclassical approximation, and the fundamental theorem of calculus in Feynman path integral.     

Besov regularity for the generalized local time of the indefinite Skorohod integral

Let (t∈[0,1]) be the indefinite Skorohod integral on the canonical probability space (Ω,F,P), and let Lt(x) (t∈[0,1], x∈R) be its the generalized local time introduced by Tudor in [C.A. Tudor, Martingale-type stochastic calculus for anticipating integral processes, Bernoulli 10 (2004) 313-325]. We prove that the generalized local time, as function of x, has the same Besov regularity as the Brownian motion, as function of t, under some conditions imposed on the anticipating integrand u.     

The composition of Wiener functionals with non absolutely continuous Shifts

Summary In this paper we study some classes of Wiener functionals whose elements can be composed with a non-linear, non-absolutely continous transformation of the form of perturbation of identity in the direction of Cameron-Martin space. We show that under certain conditions the image of the Wiener measure under the above transformation induces a generalized Wiener functional on certain Sobolev spaces generalizing the Radon-Nikodym relation to non absolutely continuous transformations. A series representation for the generalized Radon-Nikodym derivative is presented and conditional expectations of some generalized random variables are considered.     

A simple constructive approach to quadratic BSDEs with or without delay

This paper provides a simple approach for the consideration of quadratic BSDEs with bounded terminal conditions. Using solely probabilistic arguments, we retrieve the existence and uniqueness result derived via PDE-based methods by Kobylanski (2000) [14]. This approach is related to the study of quadratic BSDEs presented by Tevzadze (2008) [19]. Our argumentation, as in Tevzadze (2008) [19], highly relies on the theory of BMO martingales which was used for the first time for BSDEs by Hu et al. (2005) [12]. However, we avoid in our method any fixed point argument and use Malliavin calculus to overcome the difficulty. Our new scheme of proof allows also to extend the class of quadratic BSDEs, for which there exists a unique solution: we incorporate delayed quadratic BSDEs, whose driver depends on the recent past of the Y$Y$ component of the solution. When the delay vanishes, we verify that the solution of a delayed quadratic BSDE converges to the solution of the corresponding classical non-delayed quadratic BSDE.     

Properties of holomorphic Wiener functions —skeleton,contraction, and local Taylor expansion

Summary We show that each holomorphic Wiener function has a skeleton which is intrinsic from several viewpoints. In particular, we study the topological aspects of the skeletons by using the local Taylor expansion for holomorphic Wiener functions.Supported in part by the Grant-in-Aid for Science Research 03740120 Min. Education     

On the Clark Ocone formula for the abstract Wiener space

Fix an abstract Wiener space where is a separable Hilbert space densely embedded into a Banach space . A pathwise construction of the Itô integral as a continuous square integrable martingale is given, where the integrands are -valued processes and the integrator is a -valued Brownian motion. We use this approach to the vector integral to prove that each Malliavin differentiable functional ? defined on the space of continuous -valued functions on [0,1], endowed with the Wiener measure, can be decomposed into the sum of the expected value of ? and the Itô integral of the conditional expectation of the Malliavin derivative of ? with respect to the Brownian filtration. The Malliavin derivative of ? is an -valued stochastic process. In a second application, it is shown that the iterated Itô integral, defined as a process on , is a continuous square integrable martingale.     

On quadratic functionals of the Brownian sheet and related processes

Motivated by asymptotic problems in the theory of empirical processes, and specifically by tests of independence, we study the law of quadratic functionals of the (weighted) Brownian sheet and of the bivariate Brownian bridge on [0,1]²$[0,1{]}^2$. In particular: (i) we use Fubini-type techniques to establish identities in law with quadratic functionals of other Gaussian processes, (ii) we explicitly calculate the Laplace transform of such functionals by means of Karhunen–Loève expansions, (iii) we prove central and non-central limit theorems in the spirit of Peccati and Yor [Four limit theorems involving quadratic functionals of Brownian motion and Brownian bridge, Asymptotic Methods in Stochastics, American Mathematical Society, Fields Institute Communication Series, 2004, pp. 75–87] and Nualart and Peccati [Central limit theorems for sequences of multiple stochastic integrals, Ann. Probab. 33(1) (2005) 177–193]. Our results extend some classical computations due to Lévy [Wiener's random function and other Laplacian random functions, in: Second Berkeley Symposium in Probability and Statistics, 1950, pp. 171–186], as well as the formulae recently obtained by Deheuvels and Martynov [Karhunen–Loève expansions for weighted Wiener processes and Brownian bridges via Bessel functions, Progress in Probability, vol. 55, Birkhäuser Verlag, Basel, 2003, pp. 57–93].