English

Malliavin Calculus for non Gaussian differentiable measures and surface measures in Hilbert spaces

Probability 2016-08-23 v1

Abstract

We construct surface measures in a Hilbert space endowed with a probability measure ν\nu. The theory fits for invariant measures of some stochastic partial differential equations such as Burgers and reaction--diffusion equations. Other examples are weighted Gaussian measures and special product measures ν\nu of non Gaussian measures; in this case we exhibit a Markov process having ν\nu as invariant measure. In any case we prove integration by parts formulae on sublevel sets of good functions (including spheres and hyperplanes) that involve surface integrals.

Keywords

Cite

@article{arxiv.1608.05964,
  title  = {Malliavin Calculus for non Gaussian differentiable measures and surface measures in Hilbert spaces},
  author = {Giuseppe Da Prato and Alessandra Lunardi and Luciano Tubaro},
  journal= {arXiv preprint arXiv:1608.05964},
  year   = {2016}
}