6533b835fe1ef96bd129fd94

RESEARCH PRODUCT

Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals

Eija Laukkarinen

subject

Statistics and ProbabilityPure mathematicsSmoothness (probability theory)Applied Mathematics010102 general mathematicsHölder conditionFunction (mathematics)01 natural sciencesLévy process010104 statistics & probabilityModeling and SimulationBounded functionBounded variationDifferentiable function0101 mathematicsRandom variableMathematics

description

Abstract We consider Malliavin smoothness of random variables f ( X 1 ) , where X is a pure jump Levy process and the function f is either bounded and Holder continuous or of bounded variation. We show that Malliavin differentiability and fractional differentiability of f ( X 1 ) depend both on the regularity of f and the Blumenthal–Getoor index of the Levy measure.

yearjournalcountryeditionlanguage
2020-08-01Stochastic Processes and their Applications
https://doi.org/10.1016/j.spa.2020.01.016