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

^*此作品的通讯作者

Huazhong University of Science and Technology

科研成果: 期刊稿件 › 文章 › 同行评审

1 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	1053-1058
页数	6
期刊	Acta Mathematica Sinica, English Series
卷	23
期	6
DOI	https://doi.org/10.1007/s10114-005-0859-z
出版状态	已出版 - 6月 2007
已对外发布	是

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Xie, P., & Zhang, X. C. (2007). Fractional smoothness of some stochastic integrals. Acta Mathematica Sinica, English Series, 23(6), 1053-1058. https://doi.org/10.1007/s10114-005-0859-z

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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",

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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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Fractional smoothness of some stochastic integrals

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