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2017 A note on Malliavin smoothness on the Lévy space
Eija Laukkarinen
Electron. Commun. Probab. 22: 1-12 (2017). DOI: 10.1214/17-ECP65

Abstract

We consider Malliavin calculus based on the Itô chaos decomposition of square integrable random variables on the Lévy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and fractional differentiability can be determined by weighted Lebesgue spaces. The measurability condition is satisfied for all random variables if the underlying Lévy process is a compound Poisson process on a finite time interval.

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Eija Laukkarinen. "A note on Malliavin smoothness on the Lévy space." Electron. Commun. Probab. 22 1 - 12, 2017. https://doi.org/10.1214/17-ECP65

Information

Received: 8 June 2016; Accepted: 28 May 2017; Published: 2017
First available in Project Euclid: 21 June 2017

zbMATH: 1368.60060
MathSciNet: MR3666855
Digital Object Identifier: 10.1214/17-ECP65

Subjects:
Primary: 60G51, 60H07

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