A note on Malliavin fractional smoothness for Lévy processes and approximation

DOI10.1007/s11118-012-9326-5zbMath1295.60057arXiv1201.0389OpenAlexW1993666176WikidataQ110022165 ScholiaQ110022165MaRDI QIDQ372808

Eija Laukkarinen, Stefan Geiss, Christel Geiss

Publication date: 21 October 2013

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0389

zbMATH Keywords

approximationBesov spacesstochastic integralsLévy peocesses

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Stochastic calculus of variations and the Malliavin calculus (60H07) Interpolation in approximation theory (41A05) Rate of convergence, degree of approximation (41A25)

Related Items (6)

\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions ⋮ L²-convergence rate for the discretization error of functions of Lévy process ⋮ Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals ⋮ Bernstein-Jackson inequalities on Gaussian Hilbert spaces ⋮ Permutation invariant functionals of Lévy processes ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
• On the optimal approximation rate of certain stochastic integrals
• Interpolation and approximation in \(L_{2}(\gamma )\)
• Estimates of tempered stable densities
• Asymptotic analysis of hedging errors in models with jumps
• TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Quantitative approximation of certain stochastic integrals
• On approximation of a class of stochastic integrals and interpolation
• Denseness of certain smooth L\'evy functionals in $\DD_{1,2}$
• Permutation invariant functionals of Lévy processes
• Discrete time hedging errors for options with irregular payoffs

This page was built for publication: A note on Malliavin fractional smoothness for Lévy processes and approximation