Weak differentiability of Wiener functionals and occupation times
Abstract
In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any Dirichlet process (in particular semimartingales) is a differential form w.r.t Brownian motion driving noise. The drift components are characterized in terms of limits of integral functionals of horizontal-type perturbations and first-order variation driven by a two-parameter occupation time process. Applications to a class of path-dependent rough transformations of Brownian paths under finite -variation () regularity is also discussed. Under stronger regularity conditions in the sense of finite -variation, the connection between weak differentiability and two-parameter local time integrals in the sense of Young is established.
Cite
@article{arxiv.1711.10895,
title = {Weak differentiability of Wiener functionals and occupation times},
author = {Dorival Leão and Alberto Ohashi and Alexandre B. Simas},
journal= {arXiv preprint arXiv:1711.10895},
year = {2018}
}
Comments
Revised version. To appear in Bulletin des Sciences Math\'ematiques. arXiv admin note: text overlap with arXiv:1707.04972, arXiv:1408.1423