Functionals of a Lévy process on canonical and generic probability spaces

DOI10.1007/S10959-014-0583-7zbMATH Open1343.60069arXiv1304.6324OpenAlexW1982941615MaRDI QIDQ300280FDOQ300280

Authors: Alexander Steinicke 

Publication date: 27 June 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We develop an approach to Malliavin calculus for L'evy processes from the perspective of expressing a random variable $Y$ by a functional $F$ mapping from the Skorohod space of c`adl`ag functions to $mathbbR$, such that $Y=F(X)$ where $X$ denotes the L'evy process. We also present a chain-rule-type application for random variables of the form $f(omega,Y(omega))$. An important tool for these results is a technique which allows us to transfer identities proved on the canonical probability space (in the sense of Sol'e et al.) associated to a L'evy process with triplet $(gamma,sigma,u)$ to an arbitrary probability space $(Omega,mathcalF,mathbbP)$ which carries a L'evy process with the same triplet.

Full work available at URL: https://arxiv.org/abs/1304.6324

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zbMATH Keywords

Malliavin calculusLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Foundations of stochastic processes (60G05)

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Cited In (17)

• \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting
• On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
• A note on the Malliavin derivative operator under change of variable
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• (Non-)distributivity of the product for \(\sigma\)-algebras with respect to the intersection
• Title not available (Why is that?)
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• From probability measures to each Lévy triplet and back
• A smooth approach to Malliavin calculus for Lévy processes
• Canonical Lévy process and Malliavin calculus
• Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting

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