Besov regularity for the generalized local time of the indefinite Skorohod integral
type: Item
instance of: scholarly article
title: Besov regularity for the generalized local time of the indefinite Skorohod integral
zbMATH Open document ID: 1115.60060
author: Zongxia Liang
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 2007-02-19T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/77925
review text: Consider a process given as an indefinite Skorokhod integral \(X_t=\int_0^tu_s\,dW_s\). In an article by \textit{C. A. Tudor} [Bernoulli 10, No. 2, 313--325 (2004; Zbl 1062.60055)], it has been proved that this process can also be written as \(X_t=\int_0^tE[v_s| F_{[s,t]^c}]\,dW_s\), where \(v\) is a process which can be deduced from \(u\) by means of Malliavin's calculus. As an application, it is possible to construct a generalized local time \(L_t^X(x)\). The aim of the article under review is to study the Besov regularity of \(x\mapsto L_t^X(x)\); it appears to be similar to the regularity of the Brownian motion \(t\mapsto W_t\).
reviewed by: Jean Picard
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G15
zbMATH DE Number: 5128138
zbMATH Keywords: Besov spaces
zbMATH Keywords: generalized local times
zbMATH Keywords: Skorokhod integral
MaRDI profile type: Publication
OpenAlex ID: W2131733281
DOI: 10.1016/J.ANIHPB.2006.01.001
description: scientific article; zbMATH DE number 5128138