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Universal Malliavin calculus in Fock and Levy-Ito spaces

By D. Applebaum

Abstract

We review and extend Lindsay's work on abstract gradient and divergence operators in Fock space over a general complex Hilbert space. Precise expressions for the domains are given, the L2-equivalence of norms is proved and an abstract version of the It^o-Skorohod isometry is established. We then outline a new proof of It^o's chaos expansion of complex Levy-It^o space in terms of multiple Wiener-Levy integrals based on Brownian motion and a compensated Poisson random measure. The duality transform\ud now identies Levy-It^o space as a Fock space. We can then easily obtain key properties of the gradient and divergence of a general Levy process. In particular we establish maximal domains of these operators and obtain\ud the It^o-Skorohod isometry on its maximal domain

Year: 2009
OAI identifier: oai:eprints.whiterose.ac.uk:9804

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