A note on the Malliavin–Sobolev spaces

Peter Imkeller, Thibaut Mastrolia, Dylan Possamaï and Anthony Réveillac

Statistics & Probability Letters, 2016, vol. 109, issue C, 45-53

Abstract: In this paper, we provide a strong formulation of the stochastic Gâteaux differentiability in order to study the sharpness of a new characterization, introduced in Mastrolia et al. (2014), of the Malliavin–Sobolev spaces. We also give a new internal structure of these spaces in the sense of sets inclusion.

Keywords: Malliavin calculus; Wiener space; Functional analysis; Stochastic Gâteaux differentiability (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2015.08.020

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