相关论文: Universal Malliavin Calculus in Fock and L\'{e}vy-…

We discuss in a stochastic framework the interplay between Riemann-Liouville type operators applied to stochastic processes, real interpolation, bounded mean oscillation, and an approximation problem for stochastic integrals. We provide…

A derivation operator and a divergence operator are defined on the algebra of bounded operators on the symmetric Fock space over the complexification of a real Hilbert space $\eufrak{h}$ and it is shown that they satisfy similar properties…

We deal with Malliavin calculus on the $L^2$ space of the $W^*$-algebra generated by fermion fields (the Clifford algebra). First, we verify the product formula for multiple integrals in It\^o-Clifford calculus, which is It\^o calculus on…

We consider Malliavin calculus based on the It\^o chaos decomposition of square integrable random variables on the L\'evy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and…

We consider versions of Malliavin calculus on path spaces of compact manifolds with diffusion measures, defining Gross-Sobolev spaces of differentiable functions and proving their intertwining with solution maps, I, of certain stochastic…

In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for L\'evy processes. Here the coefficients are in the domain of the anihilation (gradient) operator in the "future…

The Malliavin derivative for a L\'evy process $(X_t)$ can be defined on the space $\DD_{1,2}$ using a chaos expansion or in the case of a pure jump process also via an increment quotient operator \cite{sole-utzet-vives}. In this paper we…

We explicitly construct and study an isometry between the spaces of square integrable functionals of an arbitrary Levy process and a vector-valued Gaussian white noise. In particular, we obtain explicit formulas for this isometry at the…

In this paper, we construct a Malliavin derivative for functionals of square-integrable L\'evy processes and derive a Clark-Ocone formula. The Malliavin derivative is defined via chaos expansions involving stochastic integrals with respect…

On any denumerable product of probability spaces, we construct a Malliavin gradient and then a divergence and a number operator. This yields a Dirichlet structure which can be shown to approach the usual structures for Poisson and Brownian…

This survey is a preliminary version of a chapter of the forthcoming book "Stochastic Analysis for Poisson Point Processes: Malliavin Calculus, Wiener-It\^o Chaos Expansions and Stochastic Geometry" edited by Giovanni Peccati and Matthias…

Suppose $B$ is a Brownian motion and $B^n$ is an approximating sequence of rescaled random walks on the same probability space converging to $B$ pointwise in probability. We provide necessary and sufficient conditions for weak and strong…

We present an alternative construction of the infinite dimensional It\^{o} integral with respect to a Hilbert space valued L\'{e}vy process. This approach is based on the well-known theory of real-valued stochastic integration, and the…

In previous works, we have developed a new Malliavin calculus on the Poisson space based on the lent particle formula. The aim of this work is to prove that, on the Wiener space for the standard Ornstein-Uhlenbeck structure, we also have…

We prove uniform Hausdorff and packing dimension results for the inverse images of a large class of real-valued symmetric L\'evy processes. Our main result for the Hausdorff dimension extends that of Kaufman (1985) for Brownian motion and…

A generalized definition of quantum stochastic (QS) integrals and differentials is given in the free of adaptiveness and dimensionality form in terms of Malliavin derivative on a projective Fock space, and their uniform continuity with…

Let $\{X_{1}(t)\}_{0\leq t\leq1}$ and $\{X_{2}(t)\}_{0\leq t\leq1}$ be two independent continuous centered Gaussian processes with covariance functions$R_{1}$ and $R_{2}$. This paper shows that if the covariance functions are of finite…

In this paper a Malliavin calculus for L\'evy processes based on a family of true derivative operators is developed. The starting point is an extension to L\'evy processes of the pioneering paper by Carlen and Pardoux [8] for the Poisson…

We consider Malliavin smoothness of random variables $f(X_1)$, where $X$ is a pure jump L\'evy process and $f$ is either bounded and H\"older continuous or of bounded variation. We show that Malliavin differentiability and fractional…

We develop a Malliavin calculus on the horizontal path space of a totally geodesic Riemannian foliation. As a first application, under suitable assumptions, we prove a log-Sobolev inequality for a natural one-parameter family of…