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Fractional smoothness and applications in finance
Fractional smoothness finance
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2010/4/28
This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process. We review the connection to th...
Fractional Smoothness of Some Stochastic Integrals
fractional Sobolev space stochastic integral interpolation
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2007/12/12
We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form $\int_0^1\p(X_s)dX_s$, where $X_s$ is a semimartingale and $\p$ belongs to some fractional Sob...