A note on Malliavin fractional smoothness for Lévy processes and approximation

DOI10.1007/S11118-012-9326-5zbMATH Open1295.60057OpenAlexW1993666176WikidataQ110022165 ScholiaQ110022165MaRDI QIDQ372808FDOQ372808

Authors Christel Geiss, Stefan Geiss, Eija Laukkarinen 

Publication date 21 October 2013

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.0389

zbMATH Keywords

approximationBesov spacesstochastic integralsLévy peocesses

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Interpolation in approximation theory (41A05) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Rate of convergence, degree of approximation (41A25)

Abstract: Assume a L'evy process $X$ on the time interval $[0,1]$ that is an $L_2$-martingale and let $Y$ be either its stochastic exponential or $X$ itself. We consider Riemann-approximations of certain stochastic integrals driven by $Y$ and relate the $L_2$-approximation rates to the Malliavin fractional smoothness of the integral to be approximated. The Malliavin fractional smoothness is described by Besov spaces generated with the real interpolation method.

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Cited in

(11)

• On smooth approximation of Lévy processes in Skorokhod space
• Fractional smoothness of some stochastic integrals
• A smooth approach to Malliavin calculus for Lévy processes
• Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals
• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
• On some smoothening effects of the transition semigroup of a Lévy process
• \(L^2\)-convergence rate for the discretization error of functions of Lévy process
• On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space
• Approximation of stochastic integrals with jumps via weighted BMO approach
• Permutation invariant functionals of Lévy processes
• Bernstein-Jackson inequalities on Gaussian Hilbert spaces

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