Article ID Journal Published Year Pages File Type
9496008 Journal of Functional Analysis 2005 32 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Algebra and Number Theory
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