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arxiv: 1608.05964 · v1 · pith:77S4WNMBnew · submitted 2016-08-21 · 🧮 math.PR

Malliavin Calculus for non Gaussian differentiable measures and surface measures in Hilbert spaces

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keywords measuresgaussiansurfacecaseequationshilbertinvariantmeasure
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We construct surface measures in a Hilbert space endowed with a probability measure $\nu$. The theory fits for invariant measures of some stochastic partial differential equations such as Burgers and reaction--diffusion equations. Other examples are weighted Gaussian measures and special product measures $\nu$ of non Gaussian measures; in this case we exhibit a Markov process having $\nu$ as invariant measure. In any case we prove integration by parts formulae on sublevel sets of good functions (including spheres and hyperplanes) that involve surface integrals.

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