The fractional smoothness of integral functionals driven by Brownian motion

DOI10.1016/j.spl.2022.109717zbMath1499.60173OpenAlexW4306804080MaRDI QIDQ2105390

Xianye Yu, Xiaoyan Xu

Publication date: 8 December 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109717

zbMATH Keywords

Malliavin calculussmoothnessBrownian local timeMarchaud fractional derivativeCauchy's principal value

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)

Cites Work

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• On the fractional derivative of Brownian local times
• Smoothness of Brownian local times and related functionals
• Fractional order Sobolev spaces on Wiener space
• Smoothness of stopping times of diffusion processes
• Chaos expansions and local times
• The Malliavin Calculus and Related Topics
• A decomposition of additive functionals of finite energy
• Smoothness of local times of semimartingales
• Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs

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