Malliavin smoothness on the Lévy space with Hölder continuous or B V functionals

DOI10.1016/J.SPA.2020.01.016MaRDI QIDQ2186647zbMATH OpenOpenAlexWikidataFDO

Authors Eija Laukkarinen

Publication date 9 June 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.04178

zbMATH Keywords

interpolationLévy processMalliavin calculus

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We consider Malliavin smoothness of random variables $f(X_1)$, where $X$ is a pure jump L'evy process and $f$ is either bounded and H"older continuous or of bounded variation. We show that Malliavin differentiability and fractional differentiability of $f(X_1)$ depend both on the regularity of $f$ and the Blumenthal-Getoor index of the L'evy measure.

Recommendations

• A note on Malliavin smoothness on the Lévy space
• Denseness of certain smooth Lévy functionals in \(\mathbb D_{1,2} \)
• Local Malliavin calculus for Lévy processes and applications
• Malliavin differentiability of indicator functions on canonical Lévy spaces
• A note on Malliavin fractional smoothness for Lévy processes and approximation

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Cited in

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• Malliavin differentiability of indicator functions on canonical Lévy spaces
• A note on Malliavin smoothness on the Lévy space
• Malliavin derivative of random functions and applications to Lévy driven BSDEs
• A note on Malliavin fractional smoothness for Lévy processes and approximation
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• On Riemann-Liouville type operators, bounded mean oscillation, gradient estimates and approximation on the Wiener space
• Local risk-minimization in exponential Lévy models: explicit representation and jump-adapted discretization

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