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arXiv:0809.0812 [math.PR]AbstractReferencesReviewsResources

The notion of convexity and concavity on Wiener space

D. Feyel, A. S. Üstünel

Published 2008-09-04Version 1

We define, in the frame of an abstract Wiener space, the notions of convexity and of concavity for the equivalence classes of random variables. As application we show that some important inequalities of the finite dimensional case have their natural counterparts in this setting.

Journal: Journal of Functional Analysis, Vol. 176, p. 369-400, 2000
Categories: math.PR
Subjects: 60Hxx
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