Timeline for Under which conditions does Malliavin derivative and Lebesgue integral commute?
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| Feb 3, 2021 at 17:05 | comment | added | user41593 | I think that the approximation argument from the linked MSE post is the most straightforward low-tech approach, since it doesn't need the Lemma I quoted. The notes are from a course Pratelli (who works mostly on this stuff and mathematical finance) taught at the University of Pisa some years ago, I couldn't find the course page and thus the references for the content (which is surely well-known if not folklore). I'd guess since Da Prato also works in Pisa you might have some luck searching through his books on the topic. | |
| Feb 3, 2021 at 15:55 | comment | added | Chaos | this is a very nice way to prove it! I don't know why I was expecting something quite involved, but this is a straightforward consequence of the integration by parts. By the way is this a set of notes of some course? If yes from which university? I also live in Italy and I didn't know Pratelli | |
| Feb 3, 2021 at 15:44 | vote | accept | Chaos | ||
| Feb 3, 2021 at 14:50 | history | answered | user41593 | CC BY-SA 4.0 |