Weak differentiability of Wiener functionals and occupation times
In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any Dirichlet process (in particular semimartingales) is a differential form w.r.t...
Gespeichert in:
Hauptverfasser: | , , |
---|---|
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext bestellen |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | In this paper, we establish a universal variational characterization of the
non-martingale components associated with weakly differentiable Wiener
functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any
Dirichlet process (in particular semimartingales) is a differential form w.r.t
Brownian motion driving noise. The drift components are characterized in terms
of limits of integral functionals of horizontal-type perturbations and
first-order variation driven by a two-parameter occupation time process.
Applications to a class of path-dependent rough transformations of Brownian
paths under finite $p$-variation ($p\ge 2$) regularity is also discussed. Under
stronger regularity conditions in the sense of finite $(p,q)$-variation, the
connection between weak differentiability and two-parameter local time
integrals in the sense of Young is established. |
---|---|
DOI: | 10.48550/arxiv.1711.10895 |