Malliavin's absolute continuity lemma
In mathematics — specifically, in measure theory — Malliavin's absolute continuity lemma is a result due to the French mathematician Paul Malliavin that plays a foundational rôle in the regularity theorems of the Malliavin calculus. Malliavin's lemma gives a sufficient condition for a finite Borel measure to be absolutely continuous with respect to Lebesgue measure.Let μ be a finite Borel measure on n-dimensional Euclidean space Rn. Suppose that, for every x ∈ Rn, there exists a constant C = C such that
for every C∞ function φ : Rn → R with compact support. Then μ is absolutely continuous with respect to n-dimensional Lebesgue measure λn on Rn. In the above, Dφ denotes the Fréchet derivative of φ at y and ||φ||∞ denotes the supremum norm of φ.
