Poisson Malliavin calculus in Hilbert space with an application to SPDE

In this paper we introduce a Hilbert space-valued Malliavin calculus for Poisson random measures. It is solely based on elementary principles from the theory of point processes and basic moment estimates, and thus allows for a simple treatment of the Malliavin operators. The main part of the theory is developed for general Poisson random measures, defined on a $\sigma$-finite measure space, with minimal conditions. The theory is shown to apply to a space-time setting, suitable for studying stochastic partial differential equations. As an application, we analyze the weak order of convergence of space-time approximations for a class of linear equations with $\alpha$-stable noise, $\alpha\in(1,2)$. For a suitable class of test functions, the weak order of convergence is found to be $\alpha$ times the strong order.