In
mathematics
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics ...
, the Malliavin derivative is a notion of
derivative
In mathematics, the derivative of a function of a real variable measures the sensitivity to change of the function value (output value) with respect to a change in its argument (input value). Derivatives are a fundamental tool of calculus. F ...
in the
Malliavin calculus
In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes. In particular, it allows ...
. Intuitively, it is the notion of derivative appropriate to paths in
classical Wiener space
In mathematics, classical Wiener space is the collection of all continuous functions on a given domain (usually a subinterval of the real line), taking values in a metric space (usually ''n''-dimensional Euclidean space). Classical Wiener space i ...
, which are "usually" not differentiable in the usual sense.
Definition
Let
be the
Cameron–Martin space, and
denote
classical Wiener space
In mathematics, classical Wiener space is the collection of all continuous functions on a given domain (usually a subinterval of the real line), taking values in a metric space (usually ''n''-dimensional Euclidean space). Classical Wiener space i ...
:
:
;
:
By the
Sobolev embedding theorem
In mathematics, there is in mathematical analysis a class of Sobolev inequalities, relating norms including those of Sobolev spaces. These are used to prove the Sobolev embedding theorem, giving inclusions between certain Sobolev spaces, and the Re ...
,
. Let
:
denote the
inclusion map
In mathematics, if A is a subset of B, then the inclusion map (also inclusion function, insertion, or canonical injection) is the function \iota that sends each element x of A to x, treated as an element of B:
\iota : A\rightarrow B, \qquad \iot ...
.
Suppose that
is
Fréchet differentiable. Then the
Fréchet derivative
In mathematics, the Fréchet derivative is a derivative defined on normed spaces. Named after Maurice Fréchet, it is commonly used to generalize the derivative of a real-valued function of a single real variable to the case of a vector-valued fu ...
is a map
:
i.e., for paths
,
is an element of
, the
dual space
In mathematics, any vector space ''V'' has a corresponding dual vector space (or just dual space for short) consisting of all linear forms on ''V'', together with the vector space structure of pointwise addition and scalar multiplication by const ...
to
. Denote by
the
continuous
Continuity or continuous may refer to:
Mathematics
* Continuity (mathematics), the opposing concept to discreteness; common examples include
** Continuous probability distribution or random variable in probability and statistics
** Continuous ...
linear map
In mathematics, and more specifically in linear algebra, a linear map (also called a linear mapping, linear transformation, vector space homomorphism, or in some contexts linear function) is a Map (mathematics), mapping V \to W between two vect ...
defined by
:
sometimes known as the
''H''-derivative. Now define
to be the
adjoint
In mathematics, the term ''adjoint'' applies in several situations. Several of these share a similar formalism: if ''A'' is adjoint to ''B'', then there is typically some formula of the type
:(''Ax'', ''y'') = (''x'', ''By'').
Specifically, adjoin ...
of
in the sense that
:
Then the Malliavin derivative
is defined by
:
The
domain
Domain may refer to:
Mathematics
*Domain of a function, the set of input values for which the (total) function is defined
**Domain of definition of a partial function
**Natural domain of a partial function
**Domain of holomorphy of a function
* Do ...
of
is the set
of all Fréchet differentiable real-valued functions on
; the
codomain
In mathematics, the codomain or set of destination of a function is the set into which all of the output of the function is constrained to fall. It is the set in the notation . The term range is sometimes ambiguously used to refer to either the ...
is
.
The Skorokhod integral
is defined to be the
adjoint
In mathematics, the term ''adjoint'' applies in several situations. Several of these share a similar formalism: if ''A'' is adjoint to ''B'', then there is typically some formula of the type
:(''Ax'', ''y'') = (''x'', ''By'').
Specifically, adjoin ...
of the Malliavin derivative:
:
See also
*
H-derivative
In mathematics, the ''H''-derivative is a notion of derivative in the study of abstract Wiener spaces and the Malliavin calculus.
Definition
Let i : H \to E be an abstract Wiener space, and suppose that F : E \to \mathbb is differentiable. Then t ...
References
{{reflist
Generalizations of the derivative
Stochastic calculus
Paul Malliavin