A note on Malliavin smoothness on the L\'evy space
Probability
2016-05-25 v1
Abstract
We consider Malliavin calculus based on the It\^o chaos decomposition of square integrable random variables on the L\'evy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and fractional differentiability can be determined by weighted Lebesgue spaces. The measurability condition is satisfied for all random variables if the underlying L\'evy process is a compound Poisson process on a finite time interval.
Cite
@article{arxiv.1605.07413,
title = {A note on Malliavin smoothness on the L\'evy space},
author = {Eija Laukkarinen},
journal= {arXiv preprint arXiv:1605.07413},
year = {2016}
}