Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals
Abstract
We consider Malliavin smoothness of random variables f(X1), where X is a purejump Lévy process and the functionfis either bounded and Hölder continuousor of bounded variation. We show that Malliavin differentiability and fractional differentiability off (X1) depend both on the regularity offand the Blumenthal-Getoor index of the Lévy measure.
Main Author
Format
Articles
Research article
Published
2020
Series
Subjects
Publication in research information system
The permanent address of the publication
https://urn.fi/URN:NBN:fi:jyu-202006114131Use this for linking
Review status
Peer reviewed
ISSN
0304-4149
DOI
https://doi.org/10.1016/j.spa.2020.01.016
Language
English
Published in
Stochastic Processes and their Applications
Citation
- Laukkarinen, E. (2020). Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals. Stochastic Processes and their Applications, 130(8), 4766-4792. https://doi.org/10.1016/j.spa.2020.01.016
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