A note on Malliavin fractional smoothness for Lévy processes and approximation

DOI10.1007/S11118-012-9326-5MaRDI QIDQ372808zbMATH OpenOpenAlexWikidataFDO

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 spacesLévy peocessesstochastic integrals

Mathematics Subject Classification ID

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

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.

Review text

The authors consider a Lévy process \(X = (X_t)_{t \in [0, 1]}\) that is an \(L^2\)-martingale and \(Y\) as the stochastic exponent of \(X\) or \(X\) itself. For certain integrands \(\varphi = (\varphi_t)_{t \in [0, 1]}\), the authors investigate the behaviour of \( \left\|\int_{(0, 1]} \varphi_t \, dX_t - \sum_{k=1}^N v_{k-1} \, (Y_{t_k} - Y_{t_{k-1}}) \right\|_{L^2}, \) where \(v_{k-1}\) is an \({\mathcal F}_{t_{k-1}}\)-measurable random variable, in dependence on the fractional smoothness in the Malliavin sense of \(\int_{(0, 1]} \varphi_t dX_t\). Such techniques appear when the stochastic integral is obtained by the Galtchouk-Kunita-Watanabe decomposition of a random variable \(f(X_1)\). Using the example \(f(X_1) = I(K < X_1 < \infty)\), it is shown how fractional smoothness depends on the distribution of the Lévy processes.

Recommendations

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Cited in

(15)

• A smooth approach to Malliavin calculus for Lévy processes
• Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals
• On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space
• Fractional smoothness of some stochastic integrals
• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
• On smooth approximation of Lévy processes in Skorokhod space
• \(L^2\)-convergence rate for the discretization error of functions of Lévy process
• Permutation invariant functionals of Lévy processes
• Bernstein-Jackson inequalities on Gaussian Hilbert spaces
• Approximation of stochastic integrals with jumps via weighted BMO approach
• Regularization effects of time integration on Gaussian process functionals
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• On Riemann-Liouville type operators, bounded mean oscillation, gradient estimates and approximation on the Wiener space
• Local risk-minimization in exponential Lévy models: explicit representation and jump-adapted discretization
• On some smoothening effects of the transition semigroup of a Lévy process

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