The fractional smoothness of integral functionals driven by Brownian motion

Xiaoyan Xu and Xianye Yu

Statistics & Probability Letters, 2023, vol. 193, issue C

Abstract: In this paper, we study the fractional smoothness of integral functionals driven by Brownian motion. By using Yamada identities, we also obtain the fractional smoothness of Hilbert transform and fractional derivative with respect to Brownian local time, which recovers the results in Eddahbi et al. (2000).

Keywords: Smoothness; Malliavin calculus; Brownian local time; Cauchy’s principal value; Marchaud fractional derivative (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2022.109717

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