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

DOI10.1016/J.SPA.2020.01.016zbMATH Open1456.60115arXiv1806.04178OpenAlexW3003630663WikidataQ109744818 ScholiaQ109744818MaRDI QIDQ2186647FDOQ2186647

Authors: Eija Laukkarinen 

Publication date: 9 June 2020

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

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.

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

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zbMATH Keywords

interpolationMalliavin calculusLévy process

Mathematics Subject Classification ID

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

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Cited In (7)

• Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing
• A note on Malliavin fractional smoothness for Lévy processes and approximation
• Malliavin differentiability of indicator functions on canonical Lévy spaces
• Denseness of certain smooth Lévy functionals in \(\mathbb D_{1,2} \)
• Fractional smoothness of functionals of diffusion processes under a change of measure
• Malliavin derivative of random functions and applications to Lévy driven BSDEs
• A note on Malliavin smoothness on the Lévy space

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