Sobolev type inequalities in infinite dimensional space

Author: Omar Purtukhia
Keywords: Sobolev type inequality, Clark-Haussmann-Ocone representation, stochastic derivative, compensated Poisson process
Annotation:

The Sobolev type Hilbert spaces for normal martingale and stochastic differentiable Poisson functionals is introduced and the Sobolev type inequalities for random var¬i¬ables from this spaces are proved.

Lecture files:

Sobolev type inequalities in infinite dimensional space [en]