Calculus of Variations and Geometric Measure Theory
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D. Trevisan

BV-regularity for the Malliavin Derivative of the Maximum of the Wiener Process

created by trevisan on 10 Jun 2017

[BibTeX]

preprint

Inserted: 10 jun 2017

Year: 2013

ArXiv: 1301.1199 PDF

Abstract:

We prove that, on the classical Wiener space, the random variable $\sup_{0\le t \le T} W_t$ 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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