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Brownian and fractional Brownian stochastic currents via Malliavin calculus |
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| Authors: | Franco Flandoli Ciprian A Tudor |
| Institution: | a Dipartimento di Matematica Applicata, Universita di Pisa, Via Bonnano 25B, I-56126, Pisa, Italy b SAMOS/MATISSE, Centre d'Economie de La Sorbonne, Université de Panthéon-Sorbonne Paris 1, 90, rue de Tolbiac, 75634 Paris Cedex 13, France |
| Abstract: | By using Malliavin calculus and multiple Wiener-Itô integrals, we study the existence and the regularity of stochastic currents defined as Skorohod (divergence) integrals with respect to the Brownian motion and to the fractional Brownian motion. We consider also the multidimensional multiparameter case and we compare the regularity of the current as a distribution in negative Sobolev spaces with its regularity in the Watanabe spaces. |
| Keywords: | Currents Multiple stochastic integrals Brownian motion Fractional Brownian motion Malliavin calculus |
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