BV-regularity for the Malliavin derivative of the maximum of a Wiener process

作者：Trevisan Dario^*

来源：Electronic Communications in Probability, 2013, 18(0): 1-9.

DOI：10.1214/ECP.v18-2314

• Malliavin calculus
• Wiener space
• BV functions

We prove that, on the classical Wiener space, the random variable M = sup(0 <= t <= T) W-t admits a measure as second Malliavin derivative, whose total variation measure is finite and singular w.r.t. the Wiener measure.

• 出版日期2013-4-16