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2013 BV-regularity for the Malliavin derivative of the maximum of the Wiener process
Dario Trevisan
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Electron. Commun. Probab. 18: 1-9 (2013). DOI: 10.1214/ECP.v18-2314

Abstract

We show that, on the classical Wiener space, the random variable $M = \sup_{0\le t \le T} W_t$ admits a measure as second Malliavin derivative, whose total variation measure is finite and singular w.r.t. the Wiener measure.

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Dario Trevisan. "BV-regularity for the Malliavin derivative of the maximum of the Wiener process." Electron. Commun. Probab. 18 1 - 9, 2013. https://doi.org/10.1214/ECP.v18-2314

Information

Accepted: 16 April 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1309.60054
MathSciNet: MR3056066
Digital Object Identifier: 10.1214/ECP.v18-2314

Subjects:
Primary: 60H07
Secondary: 28C20

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