6533b856fe1ef96bd12b33aa
RESEARCH PRODUCT
Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals
Eija Laukkarinensubject
Lévy processMalliavin calculusinterpolointiinterpolationstokastiset prosessitdescription
We consider Malliavin smoothness of random variables f(X1), where X is a purejump Lévy process and the functionfis either bounded and Hölder continuousor of bounded variation. We show that Malliavin differentiability and fractional differentiability off (X1) depend both on the regularity offand the Blumenthal-Getoor index of the Lévy measure. peerReviewed
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2020-01-01 |