Differential calculus for Dirichlet forms : the measure-valued gradient preserved by image

Nicolas Bouleau

Published 2006-10-16Version 1

In order to develop a differential calculus for error propagation we study local Dirichlet forms on probability spaces with square field operator $\Gamma$ -- i.e. error structures -- and we are looking for an object related to $\Gamma$ which is linear and with a good behaviour by images. For this we introduce a new notion called the measure valued gradient which is a randomized square root of $\Gamma$. The exposition begins with inspecting some natural notions candidate to solve the problem before proposing the measure-valued gradient and proving its satisfactory properties.