The fractional smoothness of integral functionals driven by Brownian motion

被引：0
|
作者：
Xu, Xiaoyan [1 ]
Yu, Xianye [2 ]
机构：
[1] Sun Yat Sen Univ, Sch Math, Guangzhou 510275, Guangdong, Peoples R China
[2] Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Zhejiang, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2023年 / 193卷
基金：
中国博士后科学基金;
关键词：
Smoothness; Malliavin calculus; Brownian local time; Cauchy?s principal value; Marchaud fractional derivative; TIMES;
D O I：
10.1016/j.spl.2022.109717
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we study the fractional smoothness of integral functionals driven by Brownian motion. By using Yamada identities, we also obtain the fractional smoothness of Hilbert transform and fractional derivative with respect to Brownian local time, which recovers the results in Eddahbi et al. (2000).(c) 2022 Elsevier B.V. All rights reserved.
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页数：11
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