Fractional smoothness of some stochastic integrals

Peng Xie; Xi Cheng Zhang

doi:10.1007/s10114-005-0859-z

Fractional smoothness of some stochastic integrals

Peng Xie^*, Xi Cheng Zhang

^*Corresponding author for this work

Huazhong University of Science and Technology

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form ∫°1φ(Xs)dXs where X _s is a semimartingale and φ belongs to some fractional Sobolev space over double struck R sign.

Original language	English
Pages (from-to)	1053-1058
Number of pages	6
Journal	Acta Mathematica Sinica, English Series
Volume	23
Issue number	6
DOIs	https://doi.org/10.1007/s10114-005-0859-z
Publication status	Published - Jun 2007
Externally published	Yes

Keywords

Fractional Sobolev space
Interpolation
Stochastic integral

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title = "Fractional smoothness of some stochastic integrals",

abstract = "We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form ∫°1φ(Xs)dXs where X s is a semimartingale and φ belongs to some fractional Sobolev space over double struck R sign.",

keywords = "Fractional Sobolev space, Interpolation, Stochastic integral",

author = "Peng Xie and Zhang, {Xi Cheng}",

year = "2007",

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doi = "10.1007/s10114-005-0859-z",

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AU - Zhang, Xi Cheng

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N2 - We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form ∫°1φ(Xs)dXs where X s is a semimartingale and φ belongs to some fractional Sobolev space over double struck R sign.

AB - We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form ∫°1φ(Xs)dXs where X s is a semimartingale and φ belongs to some fractional Sobolev space over double struck R sign.

KW - Fractional Sobolev space

KW - Interpolation

KW - Stochastic integral

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U2 - 10.1007/s10114-005-0859-z

DO - 10.1007/s10114-005-0859-z

M3 - Article

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JO - Acta Mathematica Sinica, English Series

JF - Acta Mathematica Sinica, English Series

IS - 6

ER -

Fractional smoothness of some stochastic integrals

Abstract

Keywords

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