• Title/Summary/Keyword: stochastic calculus of variations and the Malliavin calculus

Search Result 1, Processing Time 0.016 seconds

CONSTRUCTION OF SOME PROCESSES ON THE WIENER SPACE ASSOCIATED TO SECOND ORDER OPERATORS

  • Cruzeiro, A.B.
    • Journal of the Korean Mathematical Society
    • /
    • v.38 no.2
    • /
    • pp.311-319
    • /
    • 2001

  • We show that it is possible to associate diffusion processes to second order perturbations of the Ornstein-Uhlenbeck operator L on the Wiener space of the form L = L + 1/2∑L$^2$(sub)ξ(sub)$\kappa$ where the ξ(sub)$\kappa$ are "tangent processes" (i.e., semimartingales with antisymmetric diffusion coefficients).

  • PDF