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

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3 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	363-396
页数	34
期刊	Potential Analysis
卷	26
期	4
DOI	https://doi.org/10.1007/s11118-007-9040-x
出版状态	已出版 - 6月 2007
已对外发布	是

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Ren, J., Röckner, M., & Zhang, X. (2007). Kusuoka-Stroock formula on configuration space and regularities of local times with jumps. Potential Analysis, 26(4), 363-396. https://doi.org/10.1007/s11118-007-9040-x

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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.",

keywords = "Configuration space, Hilbert measurable fields, Kusuoka-Stroock formula, Local time, Stochastic integral",

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

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doi = "10.1007/s11118-007-9040-x",

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

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