کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156387 958826 2008 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized positive continuous additive functionals of multidimensional Brownian motion and their associated Revuz measures
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Generalized positive continuous additive functionals of multidimensional Brownian motion and their associated Revuz measures
چکیده انگلیسی

We extend the notion of positive continuous additive functionals of multidimensional Brownian motions to generalized Wiener functionals in the setting of Malliavin calculus. We call such a functional a generalized PCAF. The associated Revuz measure and a characteristic of a generalized PCAF are also extended adequately. By making use of these tools a local time representation of generalized PCAFs is discussed. It is known that a Radon measure corresponds to a generalized Wiener functional through the occupation time formula. We also study a condition for this functional to be a generalized PCAF and the relation between the associated Revuz measure of the generalized PCAF corresponding to Radon measure and this Radon measure. Finally we discuss a criterion to determine the exact Meyer–Watanabe’s Sobolev space to which this corresponding functional belongs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 118, Issue 10, October 2008, Pages 1870–1891
نویسندگان
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