Calcul d'erreur complet lipschitzien et formes de Dirichlet

Nicolas Bouleau (1)

1 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique

We study the error calculus from a mathematical point of view, in particular for the infinite dimensional models met in stochastic analysis. Gauss was the first to propose an error calculus. It can be reinforced by an extension principle based on Dirichlet forms which gives more strength to the coherence property. One gets a Lipschitzian complete error calculus which behaves well by images and by products and allows a quick and easy construction of the basic mathematical tools of Malliavin calculus. This allows also to revisit the delicate question of error permanency that Poincar\'{e} emphasized. This error calculus is connected with statistics by mean of the notion of Fisher information.

Mots clés: Dirichlet form; error; square field operator; Gauss; Malliavin; Poincaré

Domaines: Probabilités [math.PR]

Nicolas Bouleau. Calcul d'erreur complet lipschitzien et formes de Dirichlet. Journal de Mathématiques Pures et Appliquées, 2001, 80, pp.n9, 961-976. ⟨hal-00106945⟩