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1. Non-Gaussian Malliavin calculus on real Lie algebras

Author

Franz, Uwe, Privault, Nicolas, and Schott, René

Subjects
*CALCULUS, *MATHEMATICAL analysis, *STOCHASTIC analysis, *MATHEMATICAL statistics
Abstract

The non-commutative Malliavin calculus on the Heisenberg–Weyl algebra is extended to the affine algebra. A differential calculus and a non-commutative integration by parts are established. As an application we obtain sufficient conditions for the smoothness of Wigner-type laws of non-commutative random variables with gamma or continuous binomial marginals. [Copyright &y& Elsevier]

Published
2005
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