Fractional smoothness of functionals of diffusion processes under a change of measure

DOI10.1214/ECP.V19-2786MaRDI QIDQ457780zbMATH OpenOpenAlexWikidataFDO

Authors Stefan Geiss, Emmanuel Gobet

Publication date 29 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.4572

zbMATH Keywords

interpolationdiffusionparabolic PDEqualitative properties of solutions

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interpolation between normed linear spaces (46B70)

Abstract: Let $v:[0,T]imes{R}^{d}oR$ be the solution of the parabolic backward equation $$ with terminal condition $g$, where the coefficients are time- and state-dependent, and satisfy certain regularity assumptions. Let $X=(X_t{)}_{tin[0,T]}$ be the associated $R^d$-valued diffusion process on some appropriate $(Omega,cF,Q)$. For $pin[2,infty)$ and a measure $dP=lambd{a}_{T}dQ$, where $lambd{a}_T$ satisfies the Muckenhoupt condition $A_{a}lpha$ for $alphain(1,p)$, we relate the behavior of $|g(X_T)-eptg(X_T){|}_{L_p(P)}$, $|ablav(t,X_t){|}_{L_p(P)}$ and $|D^{2}v(t,X_t){|}_{L_p(P)}$ to each other, where $$ is the Hessian matrix.

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• Backward stochastic differential equations with non-Markovian singular terminal values
• Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit
• Chaotic expansion and smoothness of some functionals of the fractional Brownian motion
• On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space

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