Weak differentiability of Wiener functionals and occupation times

Abstract

In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Leão, Ohashi and Simas. It is shown that any Dirichlet process (in particular semimartingales) is a differential form w.r.t. Brownian motion driving noise. The drift components are characterized in terms of limits of integral functionals of horizontal-type perturbations and first-order variation driven by a two-parameter occupation time process. Applications to a class of path-dependent rough transformations of Brownian paths under finite p-variation (p≥2) regularity is also discussed. Under stronger regularity conditions in the sense of finite (p,q)-variation, the connection between weak differentiability and two-parameter local time integrals in the sense of Young is established.