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Construction of some processes on the Wiener space associated to second order operators - MaRDI portal

Construction of some processes on the Wiener space associated to second order operators (Q2718434)

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scientific article; zbMATH DE number 1606549
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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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    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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