Integration by parts formulae for Wiener measures restricted to subsets in R^d

• Hariya, Yuu

  Faculty of Mathematics, Kyushu University

Abstract

We study an integration by parts formula for a pinned Wiener measure restricted to a space of paths staying within a subset in　R^d. The result presented here generalizes the formula in [L. Zambotti, Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection, Probab. Theory Relat. Fields 123 (2002) 579–600] for the case of a half-line in R^d.

Kyushu University 21st Century COE Program Development of Dynamic Mathematics with High Functionality

Journal

• Journal of Functional Analysis

  Journal of Functional Analysis 239 (2), 594-610, 2006-10-15

  Elsevier

Keywords

• Integration by parts
• Wiener measure
• Hitting distribution

Details

• CRID: 1050298532705976704
• NII Article ID: 120000981494
• NII Book ID: AA00252370
• HANDLE: 2324/11853
• Text Lang: en
• Article Type: journal article
• Data Source:
  • IRDB
  • CiNii Articles