Integration by parts on the law of the reflecting Brownian motion

Abstract

We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^{\epsilon }=X+\epsilon h$ with $h$ smooth deterministic function and $\epsilon >0$ and we differentiate the law of $X^{\epsilon }$ at $\epsilon =0$. This infinitesimal perturbation changes drastically the set of zeros of $X$ for any $\epsilon >0$. As a consequence, the formula we obtain contains an infinite dimensional generalized functional in the sense of Schwartz, defined in terms of Hida's renormalization of the squared derivative of $B$ and in terms of the local time of $X$ at 0. We also compute the divergence on the Wiener space of a class of vector fields not taking values in the Cameron-Martin space.

32 pages