Kusuoka-Stroock formula on configuration space and regularities of local times with jumps

Jiagang Ren; Michael Röckner; Xicheng Zhang

doi:10.1007/s11118-007-9040-x

Kusuoka-Stroock formula on configuration space and regularities of local times with jumps

Jiagang Ren, Michael Röckner^*, Xicheng Zhang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

In this paper, we first extend the classical Itô stochastic integral to the case of measurable fields of Hilbert spaces. Then, a Kusuoka-Stroock formula on configuration space is proved. Using this formula, we study the fractional regularities of local times with jumps in the sense of the Malliavin calculus.

Original language	English
Pages (from-to)	363-396
Number of pages	34
Journal	Potential Analysis
Volume	26
Issue number	4
DOIs	https://doi.org/10.1007/s11118-007-9040-x
Publication status	Published - Jun 2007
Externally published	Yes

Keywords

Configuration space
Hilbert measurable fields
Kusuoka-Stroock formula
Local time
Stochastic integral

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10.1007/s11118-007-9040-x

Cite this

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abstract = "In this paper, we first extend the classical It{\^o} stochastic integral to the case of measurable fields of Hilbert spaces. Then, a Kusuoka-Stroock formula on configuration space is proved. Using this formula, we study the fractional regularities of local times with jumps in the sense of the Malliavin calculus.",

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author = "Jiagang Ren and Michael R{\"o}ckner and Xicheng Zhang",

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AU - Ren, Jiagang

AU - Röckner, Michael

AU - Zhang, Xicheng

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AB - In this paper, we first extend the classical Itô stochastic integral to the case of measurable fields of Hilbert spaces. Then, a Kusuoka-Stroock formula on configuration space is proved. Using this formula, we study the fractional regularities of local times with jumps in the sense of the Malliavin calculus.

KW - Configuration space

KW - Hilbert measurable fields

KW - Kusuoka-Stroock formula

KW - Local time

KW - Stochastic integral

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ER -

Kusuoka-Stroock formula on configuration space and regularities of local times with jumps

Abstract

Keywords

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