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arxiv: 1609.02438 · v2 · pith:HNWP5G5Znew · submitted 2016-09-08 · 🧮 math.PR · math.FA

Integration by parts on the law of the modulus of the Brownian bridge

classification 🧮 math.PR math.FA
keywords modulusbridgebrowniandistributionformulaintegrationpartszero
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We prove an infinite dimensional integration by parts formula on the law of the modulus of the Brownian bridge $BB=(BB_t)_{0 \leq t \leq 1}$ from $0$ to $0$ in use of methods from white noise analysis and Dirichlet form theory. Additionally to the usual drift term, this formula contains a distribution which is constructed in the space of Hida distributions by means of a Wick product with Donsker's delta (which correlates with the local time of $|BB|$ at zero). This additional distribution corresponds to the reflection at zero caused by the modulus.

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