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arXiv · 1301.1199

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

Dario Trevisan
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Abstract

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.

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Dario Trevisan. 2013-01-07. BV-regularity for the Malliavin Derivative of the Maximum of the Wiener Process. https://arxiv.org/abs/1301.1199

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