Denseness of certain smooth Lévy functionals in D₁,2

MaRDI QIDQ4915055zbMATH OpenFDO

Authors Christel Geiss, Eija Laukkarinen

Publication date 16 April 2013

Full work available at URL https://arxiv.org/abs/0805.4704, http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=31.1&nrA=1&ppB=1&ppE=15

zbMATH Keywords

Lévy processesMalliavin calculus

Mathematics Subject Classification ID

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

Abstract: The Malliavin derivative for a L'evy process $(X_t)$ can be defined on the space $D{D}_{1,2}$ using a chaos expansion or in the case of a pure jump process also via an increment quotient operator cite{sole-utzet-vives}. In this paper we define the Malliavin derivative operator $D$ on the class $mathcalS$ of smooth random variables $f(X_{t_1},\mathrm{...},X_{t_n}),$ where $f$ is a smooth function with compact support. We show that the closure of $L_2(Om)supseteqmathcalSstackrelDo{L}_2(motimesmass)$ yields to the space $D{D}_{1,2}.$ As an application we conclude that Lipschitz functions map from $D{D}_{1,2}$ into $D{D}_{1,2}.$

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