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.
BV-regularity for the Malliavin derivative of the maximum of the Wiener process
TREVISAN, DARIO
2013-01-01
Abstract
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.File in questo prodotto:
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