Fractional smoothness of functionals of diffusion processes under a change of measure

Abstract: Let

v : [0, T] i m e s R^{d} o R

be the solution of the parabolic backward equation

with terminal condition

g

, where the coefficients are time- and state-dependent, and satisfy certain regularity assumptions. Let

X = (X_{t})_{t i n [0, T]}

be the associated

R^{d}

-valued diffusion process on some appropriate

(O m e g a, c F, Q)

. For

p i n [2, i n f t y)

and a measure

d P = l a m b d a_{T} d Q

, where

l a m b d a_{T}

satisfies the Muckenhoupt condition

A_{a} l p h a

for

a l p h a i n (1, p)

, we relate the behavior of

| g (X_{T}) - e p t g (X_{T}) |_{L_{p} (P)}

,

| a b l a v (t, X_{t}) |_{L_{p} (P)}

and

| D^{2} v (t, X_{t}) |_{L_{p} (P)}

to each other, where

is the Hessian matrix.

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