Let
be the Cameron–Martin space, and
denote classical Wiener space:
;
![{\displaystyle C_{0}:=C_{0}([0,T];\mathbb {R} ^{n}):=\{{\text{continuous paths starting at 0}}\};}](//wikimedia.org/api/rest_v1/media/math/render/svg/4f4944a0c43886a81a759d8ceb78419ec21bd4f5)
By the Sobolev embedding theorem,
. Let

denote the inclusion map.
Suppose that
is Fréchet differentiable. Then the Fréchet derivative is a map

i.e., for paths
,
is an element of
, the dual space to
. Denote by
the continuous linear map
defined by

sometimes known as the H-derivative. Now define
to be the adjoint of
in the sense that

Then the Malliavin derivative
is defined by

The domain of
is the set
of all Fréchet differentiable real-valued functions on
; the codomain is
.
The Skorokhod integral
is defined to be the adjoint of the Malliavin derivative:
- :=\left(\mathrm {D} _{t}\right)^{*}:\operatorname {image} \left(\mathrm {D} _{t}\right)\subseteq L^{2}([0,T];\mathbb {R} ^{n})\to \mathbf {F} ^{*}=\mathrm {Lin} (\mathbf {F} ;\mathbb {R} ).}
![{\displaystyle \delta :=\left(\mathrm {D} _{t}\right)^{*}:\operatorname {image} \left(\mathrm {D} _{t}\right)\subseteq L^{2}([0,T];\mathbb {R} ^{n})\to \mathbf {F} ^{*}=\mathrm {Lin} (\mathbf {F} ;\mathbb {R} ).}](//wikimedia.org/api/rest_v1/media/math/render/svg/01aaba6c2c4dfadde9575883217f120d266f297e)