A note on Malliavin fractional smoothness for L\'evy processes and approximation
Probability
2012-01-04 v1
Abstract
Assume a L\'evy process on the time interval that is an -martingale and let be either its stochastic exponential or itself. We consider Riemann-approximations of certain stochastic integrals driven by and relate the -approximation rates to the Malliavin fractional smoothness of the integral to be approximated. The Malliavin fractional smoothness is described by Besov spaces generated with the real interpolation method.
Cite
@article{arxiv.1201.0389,
title = {A note on Malliavin fractional smoothness for L\'evy processes and approximation},
author = {Christel Geiss and Stefan Geiss and Eija Laukkarinen},
journal= {arXiv preprint arXiv:1201.0389},
year = {2012}
}