A note on Malliavin fractional smoothness for Lévy processes and approximation

Christel Geiss, Stefan Geiss, Eija Laukkarinen

Assume a Lévy process $X$ on the time interval $[0,1]$ that is an $L_2$-martingale and let $Y$ be either its stochastic exponential or $X$ itself. We consider Riemann-approximation…