Calculus of Variations and Geometric Measure Theory

D. Trevisan

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

created by trevisan on 10 Jun 2017



Inserted: 10 jun 2017

Year: 2013

ArXiv: 1301.1199 PDF


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.