منابع مشابه
Irregular and Simulatable Functionals on Wiener Space
be locally Lipschitz. This occurs in particular when d — 1. In that case it is possible to construct almost sure and L approximations X'(u>) of X(u>) by approximating the Brownian path u> and using the continuity of the Ito mapping (see e.g. [6] [28] [21]). Actually, with or without the Frobenius assumption, direct discretization schemes X' can be constructed which converge in V and for some sc...
متن کاملWeak Approximations for Wiener Functionals
Abstract. In this paper we introduce a simple space-filtration discretization scheme on Wiener space which allows us to study weak decompositions of a large class of Wiener functionals. We show that any Wiener functional has an underlying robust semimartingale skeleton which under mild conditions converges to it. The approximation is given in terms of discrete-jumping filtrations which allow us...
متن کاملInfinitesimal Fourier Transformation for the Space of Functionals
The purpose is to formulate a Fourier transformation for the space of functionals, as an infinitesimal meaning. We extend R to ( ∗R) under the base of nonstandard methods for the construction. The domain of a functional is the set of all internal functions from a ∗-finite lattice to a ∗-finite lattice with a double meaning. Considering a ∗-finite lattice with a double meaning, we find how to tr...
متن کاملCumulants on the Wiener Space
We combine infinite-dimensional integration by parts procedures with a recursive relation on moments (reminiscent of a formula by Barbour (1986)), and deduce explicit expressions for cumulants of functionals of a general Gaussian field. These findings yield a compact formula for cumulants on a fixed Wiener chaos, virtually replacing the usual “graph/diagram computations” adopted in most of the ...
متن کاملComparison inequalities on Wiener space
We de ne a covariance-type operator on Wiener space: for F and G two random variables in the Gross-Sobolev space D of random variables with a square-integrable Malliavin derivative, we let ΓF,G:= ⟨ DF,−DL−1G ⟩ , where D is the Malliavin derivative operator and L−1 is the pseudo-inverse of the generator of the Ornstein-Uhlenbeck semigroup. We use Γ to extend the notion of covariance and canonica...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bulletin of the Korean Mathematical Society
سال: 2012
ISSN: 1015-8634
DOI: 10.4134/bkms.2012.49.3.609