A note on the Malliavin-Sobolev spaces

Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony

Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony (2016), A note on the Malliavin-Sobolev spaces, Statistics & Probability Letters, 109, p. 45-53. 10.1016/j.spl.2015.08.020

Type

Article accepté pour publication ou publié

External document link

https://arxiv.org/abs/1501.01777v1

Date

2016

Journal name

Statistics & Probability Letters

Volume

109

Publisher

Elsevier

Published in

Paris

Pages

45-53

Abstract (EN)

In this paper, we provide a strong formulation of the stochastic Gâteaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Malliavin-Sobolev spaces. We also give a new internal structure of these spaces in the sense of sets inclusion.

Subjects / Keywords

Malliavin calculus; Wiener space; functional analysis; stochastic Gâteaux differentiability