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    The Malliavin Calculus
    The Malliavin Calculus
    The Malliavin Calculus
    Ebook214 pages1 hour

    The Malliavin Calculus

    By Denis R. Bell

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    About this ebook

    This introduction to Malliavin's stochastic calculus of variations is suitable for graduate students and professional mathematicians. Author Denis R. Bell particularly emphasizes the problem that motivated the subject's development, with detailed accounts of the different forms of the theory developed by Stroock and Bismut, discussions of the relationship between these two approaches, and descriptions of a variety of applications.
    The first chapter covers enough technical background to make the subsequent material accessible to readers without specialized knowledge of stochastic analysis. Succeeding chapters examine the functional analytic and variational approaches (with extensive explorations of the work of Stroock and Bismut); and elementary derivation of Malliavin's inequalities and a discussion of the different forms of the theory; and the non-degeneracy of the covariance matrix under Hormander's condition. The text concludes with a brief survey of applications of the Malliavin calculus to problems other than Hormander's.
    LanguageEnglish
    PublisherDover Publications
    Release dateDec 3, 2012
    ISBN9780486152059
    The Malliavin Calculus

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      The Malliavin Calculus - Denis R. Bell

      Equations¹¹.

      Preface

      The appearance of a new idea in mathematics is often the result of an attempt to solve a specific problem. However, sometimes this idea proves to be so novel and interesting that it transcends the problem that it was originally designed to solve and becomes an area of study in its own right. Such is the case with the stochastic calculus of variations developed by Paul Malliavin in 1976 in order to provide a probabilistic proof of Hörmander’s theorem, which has since come to be known as the Malliavin calculus.

      In its original form, the Malliavin calculus is a beautiful but highly elaborate complex of ideas combining deep results from probability theory and functional analysis. Since its inception it has undergone considerable simplification and extension by a number of mathematicians and is now a powerful tool for proving a variety of results. The theory admits many different treatments, and two of the main contributors to the field, Stroock and Bismut, have developed the subject in different and non-equivalent directions.

      This book is intended to serve as an introduction to the Malliavin calculus, suitable for non-specialists who wish to learn about the subject.

      Chapter 1 contains the technical background needed in later sections. In chapters 2 and 3 detailed accounts of the work of Stroock and Bismut are given. For the sake of clarity, these versions of the subject are presented in their original context, i.e. as a tool for proving Hörmander’s theorem. In chapter 4 we obtain Malliavin’s result via an alternative, elementary method. In order to complete the proof of Hörmander’s theorem, it is necessary to study the invertibility of a certain stochastic matrix which appears in the earlier chapters. This is done in chapter 6, where the results of Norris are presented. Finally, in chapter 7 we briefly describe some of the applications of the Malliavin calculus to problems other than Hörmander’s.

      This material is obviously not intended to be an exhaustive account of the field to date. However, we hope that it will serve its purpose as an introductory work, while at the same time giving some unity to a subject that even now is expanding in many different directions.

      I would like to express my gratitude to David Elworthy for introducing me to the Malliavin calculus, for providing guidance and encouragement during my time as a graduate student at the University of Warwick, and for his critical review of the manuscript which resulted in many improvements. I am also indebted to Dan Stroock for sharing his expertise with me on several occasions. Finally, I would like to thank Bridget Buckley at Pitman Publishing and the staff at Longman for their courtesy and for their efficient handling of the publication of this book.

      Denis Bell

      Boston, 1986

      Introduction

      We will start by describing some of the ideas that motivated the development of the Malliavin calculus.

      Suppose that A0, A1, . . . , An are smooth vector fields and f is a real-valued bounded continuous function, defined on Rd. Let g denote the second order differential operator

      (0.1)

      An important problem in the theory of partial differential equations is the determination of conditions on A0, . . . , An under which the Cauchy problem

      (0.2)

      admits a smooth fundamental solution. By this is meant a real-valued function P defined on (0, ∞) × R²d with P(t, •) smooth on R²d for every t (0, ∞), such that the map

      satisfies (0.2).

      Let

      for each i = 0, . . . , n and define A and A. It had been known for some time that a smooth fundamental solution to (0.2) exists in the elliptic case, where AA* is everywhere invertible. However, in a ground-breaking paper¹⁴ of 1967, Lars Hörmander proved that this holds under a considerably weaker hypothesis. Let

      [V, W](x) = DV(x)W(x) – DW(x)V(x)

      denote the Lie bracket of two C¹ vector fields V and W. Hörmander showed that a smooth fundamental solution exists under the assumption that the vectors

      (0.3)

      span Rd at each point.

      There is an intimate connection between the above Cauchy problem and the theory of stochastic differential equations. Let w denote normalized n-dimensional Brownian motion and consider the family of (Stratonovich) stochastic differential equations

      (0.4)

      Then for each x Rdis a Markov process. Let {Pt}t≥0 be the semi-group defined on bounded continuous functions g on Rd by

      (0.5)

      where E denotes expectation, and define U(t, x) ≡ (Ptf)(x). If U(t, x) is C² in x for each t > 0, then it satisfies (0.2). To see this argue as follows: an application of the Itô lemma shows that g is the infinitesimal generator of {Pt} (defined on bounded C² functions). The semi-group property then gives

      The second part of (0.2) follows from the a.s. continuity of ξx. In particular since

      where {P(t, x, dy, it can be shown that the existence of a smooth fundamental solution to the Cauchy problem is equivalent to the statement that for each positive t and x Rd the measure P(t, x, dy) is absolutely continuous with respect to the Lebesgue measure on Rd, and the corresponding family of densities {P(t, x, y)} can be chosen to be smooth in (x, y).

      Thus Hörmander’s theorem can be formulated as the statement that under condition (0.3) there exists a family of smooth transition densities for the solution of equation (0.4).

      Before Malliavin’s papers,¹⁹,²⁰ no direct method existed for proving this; indeed the problem had proved to be intractable to standard probabilistic techniques. The reason for this can be understood by considering the following example which illustrates the usual procedure for obtaining such regularity results. Let X be a random variable with a smooth densityŠŠŠŠŠ and F a smooth real-valued function on R with a non-vanishing derivative, Suppose that one wishes to study the measure induced by the random variable Y = F(X). Then for every test function φ on R and positive integer k, successive integration by parts yields

      (0.6)

      where Rk is the kth iterate of the operator R, defined by Rρ = – (ρ F—1/F’ F—1)’. If each of the functions Rkρ is integrable with respect to the Lebesgue measure, then estimating the integral in (0.6) in an obvious way gives

      (0.7)

      A result from harmonic analysis (Lemma 1.14) now implies that Y is absolutely continuous and has a smooth density.

      It is possible to extend this argument to the case where X and Y take values in higher dimensional vector spaces (cf. Theorem 5.1). Unfortunately the following essential difficulty is encountered if one tries to apply it to the study of the measure induced on Rd . The function here which corresponds to F , and this proves to be highly irregular in the sense of classical differential calculus. In particular it lacks the smoothness required to implement an integration by parts scheme of the type described above. The problem requires a calculus which is compatible with the transformations defined by stochastic integration, and this is exactly what Malliavin provided.

      defined on a dense subspace of the Hilbert space of L²-Wiener functionals, together with a bilinear form 〈 , 〉 defined by

      〈f, g(fg) – f g – g f; f, g .

      These operations may be applied arbitrarily often to the solution map of equation (0.4)¹ and satisfy the condition that if f and g , and ϕ is a C¹ function, then ϕ f and

      (0.8)

      and 〈 , 〉 are manipulated as follows to generate the estimates in (0.7). Suppose that ϕ , together with (0.8), allow one to write

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