BV-regularity for the Malliavin Derivative of the Maximum of the Wiener Process
classification
🧮 math.PR
keywords
measurewienerderivativemalliavinadmitsbv-regularityclassicalfinite
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We prove that, on the classical Wiener space, the random variable $\sup_{0\le t \le T} W_t$ admits a measure as second Malliavin derivative, whose total variation measure is finite and singular w.r.t.\ the Wiener measure.
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