|
H-derivative
In mathematics, the ''H''-derivative is a notion of derivative in the study of abstract Wiener spaces and the Malliavin calculus. Definition Let i : H \to E be an abstract Wiener space, and suppose that F : E \to \mathbb is Fréchet_derivative, differentiable. Then the Fréchet derivative is a map :\mathrm F : E \to \mathrm (E; \mathbb); i.e., for x \in E, \mathrm F (x) is an element of E^, the dual space to E. Therefore, define the H-derivative \mathrm_ F at x \in E by :\mathrm_ F (x) := \mathrm F (x) \circ i : H \to \R, a continuous function, continuous linear map on H. Define the H-gradient \nabla_ F : E \to H by :\langle \nabla_ F (x), h \rangle_ = \left( \mathrm_ F \right) (x) (h) = \lim_ \frac. That is, if j : E^ \to H denotes the Hermitian adjoint, adjoint of i : H \to E, we have \nabla_ F (x) := j \left( \mathrm F (x) \right). See also * Malliavin derivative References Generalizations of the derivative Measure theory Stochastic calculus {{probability ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Malliavin Derivative
In mathematics, the Malliavin derivative is a notion of derivative in the Malliavin calculus. Intuitively, it is the notion of derivative appropriate to paths in classical Wiener space, which are "usually" not differentiable in the usual sense. Definition Let H be the Cameron–Martin space, and C_ denote classical Wiener space: :H := \ := \; :C_ := C_ ([0, T]; \mathbb^) := \; By the Sobolev inequality#Sobolev embedding theorem, Sobolev embedding theorem, H \subset C_0. Let :i : H \to C_ denote the inclusion map. Suppose that F : C_ \to \mathbb is Fréchet derivative, Fréchet differentiable. Then the Fréchet derivative is a map :\mathrm F : C_ \to \mathrm (C_; \mathbb); i.e., for paths \sigma \in C_, \mathrm F (\sigma)\; is an element of C_^, the dual space to C_\;. Denote by \mathrm_ F(\sigma)\; the continuous function, continuous linear map H \to \mathbb defined by :\mathrm_ F (\sigma) := \mathrm F (\sigma) \circ i : H \to \mathbb, sometimes known as the H-derivative, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Generalizations Of The Derivative
In mathematics, the derivative is a fundamental construction of differential calculus and admits many possible generalizations within the fields of mathematical analysis, combinatorics, algebra, geometry, etc. Fréchet derivative The Fréchet derivative defines the derivative for general normed vector spaces V, W. Briefly, a function f : U \to W, where U is an open subset of V, is called ''Fréchet differentiable'' at x \in U if there exists a bounded linear operator A:V\to W such that \lim_ \frac = 0. Functions are defined as being differentiable in some open neighbourhood (mathematics), neighbourhood of x, rather than at individual points, as not doing so tends to lead to many Pathological (mathematics), pathological counterexamples. The Fréchet derivative is quite similar to the formula for the derivative found in elementary one-variable calculus, \lim_\frac = A, and simply moves ''A'' to the left hand side. However, the Fréchet derivative ''A'' denotes the function t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematics
Mathematics is a field of study that discovers and organizes methods, Mathematical theory, theories and theorems that are developed and Mathematical proof, proved for the needs of empirical sciences and mathematics itself. There are many areas of mathematics, which include number theory (the study of numbers), algebra (the study of formulas and related structures), geometry (the study of shapes and spaces that contain them), Mathematical analysis, analysis (the study of continuous changes), and set theory (presently used as a foundation for all mathematics). Mathematics involves the description and manipulation of mathematical object, abstract objects that consist of either abstraction (mathematics), abstractions from nature orin modern mathematicspurely abstract entities that are stipulated to have certain properties, called axioms. Mathematics uses pure reason to proof (mathematics), prove properties of objects, a ''proof'' consisting of a succession of applications of in ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Derivative
In mathematics, the derivative is a fundamental tool that quantifies the sensitivity to change of a function's output with respect to its input. The derivative of a function of a single variable at a chosen input value, when it exists, is the slope of the tangent line to the graph of the function at that point. The tangent line is the best linear approximation of the function near that input value. For this reason, the derivative is often described as the instantaneous rate of change, the ratio of the instantaneous change in the dependent variable to that of the independent variable. The process of finding a derivative is called differentiation. There are multiple different notations for differentiation. '' Leibniz notation'', named after Gottfried Wilhelm Leibniz, is represented as the ratio of two differentials, whereas ''prime notation'' is written by adding a prime mark. Higher order notations represent repeated differentiation, and they are usually denoted in Leib ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Abstract Wiener Space
The concept of an abstract Wiener space is a mathematical construction developed by Leonard Gross to understand the structure of Gaussian measures on infinite-dimensional spaces. The construction emphasizes the fundamental role played by the Cameron–Martin space. The classical Wiener space is the prototypical example. The structure theorem for Gaussian measures states that all Gaussian measures can be represented by the abstract Wiener space construction. Motivation Let H be a real Hilbert space, assumed to be infinite dimensional and separable. In the physics literature, one frequently encounters integrals of the form :\frac\int_H f(v) e^ Dv, where Z is supposed to be a normalization constant and where Dv is supposed to be the non-existent Lebesgue measure on H. Such integrals arise, notably, in the context of the Euclidean path-integral formulation of quantum field theory. At a mathematical level, such an integral cannot be interpreted as integration against a measure ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Malliavin Calculus
In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes. In particular, it allows the computation of derivatives of random variables. Malliavin calculus is also called the stochastic calculus of variations. P. Malliavin first initiated the calculus on infinite dimensional space. Then, the significant contributors such as S. Kusuoka, D. Stroock, J-M. Bismut, Shinzo Watanabe, I. Shigekawa, and so on finally completed the foundations. Malliavin calculus is named after Paul Malliavin whose ideas led to a proof that Hörmander's condition implies the existence and smoothness of a density for the solution of a stochastic differential equation; Hörmander's original proof was based on the theory of partial differential equations. The calculus has been applied to stochastic partial differential equations as well. The cal ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Fréchet Derivative
In mathematics, the Fréchet derivative is a derivative defined on normed spaces. Named after Maurice Fréchet, it is commonly used to generalize the derivative of a real-valued function of a single real variable to the case of a vector-valued function of multiple real variables, and to define the functional derivative used widely in the calculus of variations. Generally, it extends the idea of the derivative from real-valued functions of one real variable to functions on normed spaces. The Fréchet derivative should be contrasted to the more general Gateaux derivative which is a generalization of the classical directional derivative. The Fréchet derivative has applications to nonlinear problems throughout mathematical analysis and physical sciences, particularly to the calculus of variations and much of nonlinear analysis and nonlinear functional analysis. Definition Let V and W be normed vector spaces, and U\subseteq V be an open subset of V. A function f : U \to W is c ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Dual Space
In mathematics, any vector space ''V'' has a corresponding dual vector space (or just dual space for short) consisting of all linear forms on ''V,'' together with the vector space structure of pointwise addition and scalar multiplication by constants. The dual space as defined above is defined for all vector spaces, and to avoid ambiguity may also be called the . When defined for a topological vector space, there is a subspace of the dual space, corresponding to continuous linear functionals, called the continuous dual space. Dual vector spaces find application in many branches of mathematics that use vector spaces, such as in tensor analysis with finite-dimensional vector spaces. When applied to vector spaces of functions (which are typically infinite-dimensional), dual spaces are used to describe measures, distributions, and Hilbert spaces. Consequently, the dual space is an important concept in functional analysis. Early terms for ''dual'' include ''polarer Raum'' ahn 1 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Continuous Function
In mathematics, a continuous function is a function such that a small variation of the argument induces a small variation of the value of the function. This implies there are no abrupt changes in value, known as '' discontinuities''. More precisely, a function is continuous if arbitrarily small changes in its value can be assured by restricting to sufficiently small changes of its argument. A discontinuous function is a function that is . Until the 19th century, mathematicians largely relied on intuitive notions of continuity and considered only continuous functions. The epsilon–delta definition of a limit was introduced to formalize the definition of continuity. Continuity is one of the core concepts of calculus and mathematical analysis, where arguments and values of functions are real and complex numbers. The concept has been generalized to functions between metric spaces and between topological spaces. The latter are the most general continuous functions, and their d ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Linear Map
In mathematics, and more specifically in linear algebra, a linear map (also called a linear mapping, linear transformation, vector space homomorphism, or in some contexts linear function) is a mapping V \to W between two vector spaces that preserves the operations of vector addition and scalar multiplication. The same names and the same definition are also used for the more general case of modules over a ring; see Module homomorphism. If a linear map is a bijection then it is called a . In the case where V = W, a linear map is called a linear endomorphism. Sometimes the term refers to this case, but the term "linear operator" can have different meanings for different conventions: for example, it can be used to emphasize that V and W are real vector spaces (not necessarily with V = W), or it can be used to emphasize that V is a function space, which is a common convention in functional analysis. Sometimes the term ''linear function'' has the same meaning as ''linear m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Hermitian Adjoint
In mathematics, specifically in operator theory, each linear operator A on an inner product space defines a Hermitian adjoint (or adjoint) operator A^* on that space according to the rule :\langle Ax,y \rangle = \langle x,A^*y \rangle, where \langle \cdot,\cdot \rangle is the inner product on the vector space. The adjoint may also be called the Hermitian conjugate or simply the Hermitian after Charles Hermite. It is often denoted by in fields like physics, especially when used in conjunction with bra–ket notation in quantum mechanics. In dimension (vector space), finite dimensions where operators can be represented by Matrix (mathematics), matrices, the Hermitian adjoint is given by the conjugate transpose (also known as the Hermitian transpose). The above definition of an adjoint operator extends verbatim to bounded operator, bounded linear operators on Hilbert spaces H. The definition has been further extended to include unbounded ''Densely defined operator, densely def ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
