کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9496008 1335208 2005 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Integration by parts on the law of the reflecting Brownian motion
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات اعداد جبر و تئوری
پیش نمایش صفحه اول مقاله
Integration by parts on the law of the reflecting Brownian motion
چکیده انگلیسی
We prove an integration by parts formula on the law of the reflecting Brownian motion X≔|B| 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Functional Analysis - Volume 223, Issue 1, 1 June 2005, Pages 147-178
نویسندگان
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