首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Integration by parts on the law of the reflecting Brownian motion
Authors:Lorenzo Zambotti
Institution:Dipartimento di Matematica, Politecnico di Milano, Piazza Leonardo da Vinci 32, 20133 Milano, Italy
Abstract:We prove an integration by parts formula on the law of the reflecting Brownian motion View the MathML source in the positive half line, where B is a standard Brownian motion. In other terms, we consider a perturbation of X of the form Xε=X+εh with h smooth deterministic function and ε>0 and we differentiate the law of Xε at ε=0. This infinitesimal perturbation changes drastically the set of zeros of X for any ε>0. As a consequence, the formula we obtain contains an infinite-dimensional generalized functional in the sense of Schwartz, defined in terms of Hida's renormalization of the squared derivative of B and in terms of the local time of X at 0. We also compute the divergence on the Wiener space of a class of vector fields not taking values in the Cameron-Martin space.
Keywords:60H07  60J65
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号