A note on Malliavin fractional smoothness for Lévy processes and approximation

DOI10.1007/S11118-012-9326-5zbMATH Open1295.60057arXiv1201.0389OpenAlexW1993666176WikidataQ110022165 ScholiaQ110022165MaRDI QIDQ372808FDOQ372808

Authors: Christel Geiss, Stefan Geiss, Eija Laukkarinen 

Publication date: 21 October 2013

Published in: Potential Analysis (Search for Journal in Brave)

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.

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

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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)

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Cited In (10)

• Permutation invariant functionals of Lévy processes
• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
• Approximation of stochastic integrals with jumps via weighted BMO approach
• Fractional smoothness of some stochastic integrals
• Bernstein-Jackson inequalities on Gaussian Hilbert spaces
• L²-convergence rate for the discretization error of functions of Lévy process
• Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals
• On some smoothening effects of the transition semigroup of a Lévy process
• On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space
• A smooth approach to Malliavin calculus for Lévy processes

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