Abstract
This paper is concerned with the integration by parts formulae for the pinned or the standard Wiener measures restricted on a space of paths staying between two curves. The boundary measures, concentrated on the set of paths touching one of the curves once, are specified. Our approach is based on the polygonal approximations. In particular, to establish the convergence of boundary terms, a uniform estimate is derived by means of comparison argument for a sequence of random walks conditioned to stay between two polygons. Applying the Brascamp-Lieb inequality, the stochastic integrals of Wiener type are constructed relative to the three-dimensional Bessel bridge or the Brownian meander.
| Original language | English |
|---|---|
| Pages (from-to) | 289-321 |
| Number of pages | 33 |
| Journal | Probability Theory and Related Fields |
| Volume | 137 |
| Issue number | 3-4 |
| DOIs | |
| Publication status | Published - 2007 Mar |
| Externally published | Yes |
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Keywords
- 3D Bessel bridge
- Brascamp-Lieb inequality
- Brownian meander
- Integration by parts and Wiener measure
- SPDE with reflection
ASJC Scopus subject areas
- Analysis
- Statistics and Probability
- Statistics, Probability and Uncertainty
Cite this
Integration by parts formulae for Wiener measures on a path space between two curves. / Funaki, Tadahisa; Ishitani, Kensuke.
In: Probability Theory and Related Fields, Vol. 137, No. 3-4, 03.2007, p. 289-321.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Integration by parts formulae for Wiener measures on a path space between two curves
AU - Funaki, Tadahisa
AU - Ishitani, Kensuke
PY - 2007/3
Y1 - 2007/3
N2 - This paper is concerned with the integration by parts formulae for the pinned or the standard Wiener measures restricted on a space of paths staying between two curves. The boundary measures, concentrated on the set of paths touching one of the curves once, are specified. Our approach is based on the polygonal approximations. In particular, to establish the convergence of boundary terms, a uniform estimate is derived by means of comparison argument for a sequence of random walks conditioned to stay between two polygons. Applying the Brascamp-Lieb inequality, the stochastic integrals of Wiener type are constructed relative to the three-dimensional Bessel bridge or the Brownian meander.
AB - This paper is concerned with the integration by parts formulae for the pinned or the standard Wiener measures restricted on a space of paths staying between two curves. The boundary measures, concentrated on the set of paths touching one of the curves once, are specified. Our approach is based on the polygonal approximations. In particular, to establish the convergence of boundary terms, a uniform estimate is derived by means of comparison argument for a sequence of random walks conditioned to stay between two polygons. Applying the Brascamp-Lieb inequality, the stochastic integrals of Wiener type are constructed relative to the three-dimensional Bessel bridge or the Brownian meander.
KW - 3D Bessel bridge
KW - Brascamp-Lieb inequality
KW - Brownian meander
KW - Integration by parts and Wiener measure
KW - SPDE with reflection
UR - http://www.scopus.com/inward/record.url?scp=33845900932&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=33845900932&partnerID=8YFLogxK
U2 - 10.1007/s00440-006-0010-9
DO - 10.1007/s00440-006-0010-9
M3 - Article
AN - SCOPUS:33845900932
VL - 137
SP - 289
EP - 321
JO - Probability Theory and Related Fields
JF - Probability Theory and Related Fields
SN - 0178-8051
IS - 3-4
ER -