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

2018/06/11 by Laukkarinen, Eija
#60G51 #60H07 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1806.04178

Abstract

We consider Malliavin smoothness of random variables f(X₁), where X is a pure jump Lévy process and 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.

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