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arXiv:1301.1199 [math.PR]AbstractReferencesReviewsResources

BV-regularity for the Malliavin Derivative of the Maximum of the Wiener Process

Dario Trevisan

Published 2013-01-07Version 1

We prove that, on the classical Wiener space, the random variable $\sup_{0\le t \le T} W_t$ admits a measure as second Malliavin derivative, whose total variation measure is finite and singular w.r.t.\ the Wiener measure.

Categories: math.PR
Subjects: 60H07, 28C20
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