A note on Malliavin smoothness on the Lévy space
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Publication:2362535
Abstract: We consider Malliavin calculus based on the It^o chaos decomposition of square integrable random variables on the L'evy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and fractional differentiability can be determined by weighted Lebesgue spaces. The measurability condition is satisfied for all random variables if the underlying L'evy process is a compound Poisson process on a finite time interval.
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