Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals
| Autor: | Laukkarinen, Eija |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: | |
| Popis: | 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 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|