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

Eija Laukkarinen

Stochastic Processes and their Applications, 2020, vol. 130, issue 8, 4766-4792

Abstract: We consider Malliavin smoothness of random variables f(X1), where X is a pure jump Lévy process and the function f is either bounded and Hölder continuous or of bounded variation. We show that Malliavin differentiability and fractional differentiability of f(X1) depend both on the regularity of f and the Blumenthal–Getoor index of the Lévy measure.

Keywords: Lévy process; Malliavin calculus; Interpolation (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030441491830334X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:8:p:4766-4792

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2020.01.016

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().