Chaotic extensions and the lent particle method for Brownian motion - Archive ouverte HAL
Article Dans Une Revue Electronic Journal of Probability Année : 2013

Chaotic extensions and the lent particle method for Brownian motion

Résumé

In previous works, we have developed a new Malliavin calculus on the Poisson space based on the lent particle formula. The aim of this work is to prove that, on the Wiener space for the standard Ornstein-Uhlenbeck structure, we also have such a formula which permits to calculate easily and intuitively the Malliavin derivative of a functional. Our approach uses chaos extensions associated to stationary processes of rotations of normal martingales.
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Dates et versions

hal-03687252 , version 1 (03-06-2022)

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Nicolas Bouleau, Laurent Denis. Chaotic extensions and the lent particle method for Brownian motion. Electronic Journal of Probability, 2013, 18 (none), ⟨10.1214/ejp.v18-1838⟩. ⟨hal-03687252⟩
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