Comparison inequalities on Wiener space

We define a covariance-type operator on Wiener space: for F$F$ and G$G$ two random variables in the Gross–Sobolev space D^1,2${\mathbb{D}}^{1,2}$ of random variables with a square-integrable Malliavin derivative, we let _ΓF,G?〈DF,−DL⁻¹G〉${\Gamma }_{F,G}?〈{DF,-DL}^{-1}G〉$, where D$D$ is the Malliavin derivative operator and L⁻¹$L^{-1}$ is the pseudo-inverse of the generator of the Ornstein–Uhlenbeck semigroup. We use Γ$\Gamma$ to extend the notion of covariance and canonical metric for vectors and random fields on Wiener space, and prove corresponding non-Gaussian comparison inequalities on Wiener space, which extend the Sudakov–Fernique result on comparison of expected suprema of Gaussian fields, and the Slepian inequality for functionals of Gaussian vectors. These results are proved using a so-called smart-path method on Wiener space, and are illustrated via various examples. We also illustrate the use of the same method by proving a Sherrington–Kirkpatrick universality result for spin systems in correlated and non-stationary non-Gaussian random media.     

Almost sure central limit theorems on the Wiener space

In this paper, we study almost sure central limit theorems for sequences of functionals of general Gaussian fields. We apply our result to non-linear functions of stationary Gaussian sequences. We obtain almost sure central limit theorems for these non-linear functions when they converge in law to a normal distribution.     

Applications of the degree theorem to absolute continuity on Wiener space

Summary Let (,H, P) be an abstract Wiener space and define a shift on byT()=+F() whereF is anH-valued random variable. We study the absolute continuity of the measuresPºT ^–1and ( _F P)ºT ¹ with respect toP using the techniques of the degree theory of Wiener maps, where _F =det₂(1+F) × Exp{–F–1/2|F|²}.The work of the second author was supported by the fund for promotion of research at the Technion     

Measures induced on Wiener space by monotone shifts

Summary In this work we study the absolute continuity of the image of the Wiener measure under the transformations of the formT()=+u(), the shiftu is a random variable with values in the Cameron-Martin spaceH and is monotone in the sense that (T(+h-T(),h) _H 0 a.s. for allh inH.     

Degree theory on Wiener space

Summary. Let (W, H, μ) be an abstract Wiener space and let Tw  =  w + u (w), where u is an H-valued random variable, be a measurable transformation on W. A Sard type lemma and a degree theorem for this setup are presented and applied to derive existence of solutions to elliptic stochastic partial differential equations. Received: 19 March 1996 / In revised form: 7 January 1997     

Malliavin calculus in abstract Wiener space using infinitesimals

Using infinitesimals, we develop Malliavin calculus on spaces which result from the classical Wiener space by replacing with any abstract Wiener space .We start from a Brownian motion b on a Loeb probability space Ω with values in the Banach space is the standard part of a ∗finite-dimensional Brownian motion B. Then we define iterated Itô integrals as standard parts of internal iterated Itô integrals. The integrator of the internal integrals is B and the values of the integrands are multilinear forms on , where is a ∗finite-dimensional linear space over between the Hilbert space and its ∗-extension .In the first part we prove a chaos decomposition theorem for L²-functionals on Ω that are measurable with respect to the σ-algebra generated by b. This result yields a chaos decomposition of L²-functionals with respect to the Wiener measure on the standard space of -valued continuous functions on [0,1]. In the second part we define the Malliavin derivative and the Skorohod integral as standard parts of internal operators defined on ∗finite-dimensional spaces. In an application we use the transformation rule for finite-dimensional Euclidean spaces to study time anticipating and non-anticipating shifts of Brownian motion by Bochner integrals (Girsanov transformations).     

On the Clark Ocone formula for the abstract Wiener space

Fix an abstract Wiener space where is a separable Hilbert space densely embedded into a Banach space . A pathwise construction of the Itô integral as a continuous square integrable martingale is given, where the integrands are -valued processes and the integrator is a -valued Brownian motion. We use this approach to the vector integral to prove that each Malliavin differentiable functional ? defined on the space of continuous -valued functions on [0,1], endowed with the Wiener measure, can be decomposed into the sum of the expected value of ? and the Itô integral of the conditional expectation of the Malliavin derivative of ? with respect to the Brownian filtration. The Malliavin derivative of ? is an -valued stochastic process. In a second application, it is shown that the iterated Itô integral, defined as a process on , is a continuous square integrable martingale.     

Probability distance inequalities on Riemannian manifolds and path spaces

We construct Otto-Villani's coupling for general reversible diffusion processes on a Riemannian manifold. As an application, some new estimates are obtained for Wasserstein distances by using a Sobolev-Poincaré type inequality introduced by Lata?a and Oleszkiewicz. The corresponding concentration estimates of the measure are presented. Finally, our main result is applied to obtain the transportation cost inequalities on the path space with respect to both of the L²-distance and the intrinsic distance. In particular, Talagrand's inequality holds on the path space over a compact manifold.     

Onsager-Machlup functional for some smooth norms on Wiener space

Summary In this paper, we determine Onsager-Machlup functionals for a variety of norms on Wiener space which includes among others Hölder norms for every 0<<1/2, as well as Besov or Sobolev type norms. We basically require the knowledge of the small ball probabilities for the Wiener measure and use versions of the norms which are rotationaly invariant on the range of the Brownian paths, a property of crucial importance in our approach.     

Semiclassical limit of the lowest eigenvalue of a Schrödinger operator on a Wiener space

We study a semiclassical limit of the lowest eigenvalue of a Schrödinger operator on a Wiener space. Key results are semiboundedness theorem of the Schrödinger operator, Laplace-type asymptotic formula and IMS localization formula. We also make a remark on the semiclassical problem of a Schrödinger operator on a path space over a Riemannian manifold.     

On Wiener functionals of order 2 associated with soliton solutions of the KdV equation

The eigenvalues and eigenvectors of the Hilbert-Schmidt operators corresponding to the Wiener functionals of order 2, which give a rise of soliton solutions of the KdV equation, are determined. Two explicit expressions of the stochastic oscillatory integral with such Wiener functional as phase function are given; one is of infinite product type and the other is of Lévy's formula type. As an application, the asymptotic behavior of the stochastic oscillatory integral will be discussed.     

Transport equations and quasi-invariant flows on the Wiener space

We shall investigate on vector fields of low regularity on the Wiener space, with divergence having low exponential integrability. We prove that the vector field generates a flow of quasi-invariant measurable maps with density belonging to the space . An explicit expression for the density is also given.     

Random rotations of the Wiener path

Summary Let (W, H, ) be an abstract Wiener space and letR(w) be a strongly measurable random variable with values in the set of isometries onH. Suppose that Rh is smooth in the Sobolev sense and that it is a quasi-nilpotent operator onH for everyhH. It is shown that (R(w)h) is again a Gaussian (0, |h| _H ² )-random variable. Consequently, if (e _i ,i)W ^* is a complete, orthonormal basis ofH, then defines a measure preserving transformation, a rotation, onW. It is also shown that if for some strongly measurable, operator valued (onH) random variableR, (R(w+k)h) is (0, |h| _H ² )-Gaussian for allk, hH, thenR is an isometry and Rh is quasi-nilpotent for allHH. The relation between the stochastic calculi for these Wiener pathsw and , as well as the conditions of the inverbibility of the map are discussed and the problem of the absolute continuity of the image of the Wiener measure under Euclidean motion on the Wiener space (i.e. composed with a shift) is studied.The research of the second author was supported by the Fund for the Promotion of Research at the TechnionDedicated to the memory of Albert Badrikian     

The Clark-Ocone formula for vector valued Wiener functionals

The classical representation of random variables as the Itô integral of nonanticipative integrands is extended to include Banach space valued random variables on an abstract Wiener space equipped with a filtration induced by a resolution of the identity on the Cameron-Martin space. The Itô integral is replaced in this case by an extension of the divergence to random operators, and the operators involved in the representation are adapted with respect to this filtration in a suitably defined sense.A complete characterization of measure preserving transformations in Wiener space is presented as an application of this generalized Clark-Ocone formula.     

Transformation of the Wiener measure under non-invertible shifts

Summary In this paper we consider the transformation of measure induced by a not-necessarily-invertible perturbation of the identity. The Radon-Nikodym density for the image of the Wiener measure and the associated Girsanov-type density are derived. An application of these results yields an extension of the degree theorem.     

Logarithmic Sobolev Inequalities of Diffusions for the L^2 Metric

Under the Bakry–Emery's -minoration condition, we establish the logarithmic Sobolev inequality for the Brownian motion with drift in the metric instead of the usual Cameron–Martin metric. The involved constant is sharp and does not explode for large time. This inequality with respect to the -metric provides us the gaussian concentration inequalities for the large time behavior of the diffusion. An erratum to this article can be found at     

Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum

In this article, we consider an m$m$-dimensional stochastic differential equation with coefficients which depend on the maximum of the solution. First, we prove the absolute continuity of the law of the solution. Then we prove that the joint law of the maximum of the i$i$th component of the solution and the i^′$i^{\prime }$th component of the solution is absolutely continuous with respect to the Lebesgue measure in a particular case. The main tool to prove the absolute continuity of the laws is Malliavin calculus.     

Hausdorff measures on the Wiener space

We construct a Hausdorff measure of finite co-dimension on the Wiener space. We then extend the Federer co-area Formula to this Wiener space for functions with the sole condition that they belong to the first Sobolev space. An explicit formula for the density of the images of the Wiener measure under such functions follows naturally from this. As a corollary, this yields a new and easy proof of the Krée-Watanabe theorem concerning the regularity of the images of the Wiener measure.