Wednesday, December 20, 2017 - 10:00 in V3-201
Integration by parts on the law of the modulus of the Brownian bridge
A talk in the Bielefeld Stochastic Afternoon series by
Martin Grothaus from Technische Universität Kaiserslautern
| Abstract: |
We prove an infinite dimensional integration by parts formula on the law of the modulus of the Brownian bridge $BB = (BB_t)_{\{0\le t \le 1\}}$ from 0 to 0 in use of methods from white noise
analysis and Dirichlet form theory. Additionally to the usual drift term, this formula contains
a distribution which is constructed in the space of Hida distributions by means of a Wick product with Donsker’s delta (which correlates with the local time of $|BB|$ at zero). This additional distribution corresponds to the reflection at zero caused by the modulus.
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