On the Malliavin calculus on product spaces and an infinite de Jong theorem

Abstract

We extend the Malliavin theory for $L^2$-functionals on product probability spaces that has recently been developed independently by Decreusefond and Halconruy (2019) and by Duerinckx (2021), by characterizing the domains and investigating the actions of the three Malliavin operators in terms of the infinite Hoeffding decomposition in $L^2$, which we identify as the natural analogue of the famous Wiener-Itô chaos decomposition on Gaussian and Poisson spaces. We further explore the corresponding Ornstein-Uhlenbeck semigroup in terms of its Mehler representation and prove new moment bounds for iterated gradients. As an illustration of the abstract framework, we prove an infinite version of the quantitative de Jong CLT that has recently been proved by G. Peccati and the author (2017) and by the author (2024).

33 pages, the unpublished manuscript arXiv:2403.14334 has been split and this is the first part containing results about the abstract framework and Malliavin formalism