Construction of some processes on the Wiener space associated to second order operators (Q2718434)
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scientific article; zbMATH DE number 1606549
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of some processes on the Wiener space associated to second order operators |
scientific article; zbMATH DE number 1606549 |
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24 February 2002
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stochastic calculus of variations and Malliavin calculus
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operators on function spaces
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stochastic processes
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0.8650813
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0.86236835
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0.85616803
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0.8501948
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0.84946316
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Construction of some processes on the Wiener space associated to second order operators (English)
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A process \(\xi\) on the Wiener space \(X\) is called tangent process if it is an \(R^{d}\)-valued semimartingale with Itô differential \( d_{\tau}\xi_{\alpha}=a_{\alpha}^{\beta} dx_{\beta}(\tau)+b_{\alpha} d\tau\), where \(\alpha,\beta=1,\ldots,d\), \(a_{\alpha}^{\beta}=-a^{\alpha}_{\beta}\), \(a_{\alpha}^{\beta}(0)=0\), and such that \(\xi\) can also be represented in terms of a Stratonovic integral. The author proves that it is possible to associate a diffusion process to second-order perturbations of the Ornstein-Uhlenbeck operator \(L\) on the Wiener space of the form \(\frac{1}{2} \sum_{k}{\mathcal L}^{2}_{\xi_{k}}\) with \(\xi_{k}\) tangent processes.
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