Fractional smoothness of functionals of diffusion processes under a change of measure

Stefan Geiss, Emmanuel Gobet

Let $v:[0,T]\times {\mathbb{R}}^d\to \mathbb{R}$ be the solution of the parabolic backward equation $ \partial_t v + (1/2) \sum_{i,l} [σσ^\perp]_{il} \partial_{x_i \partial_{x_l} v + \sum_{i} b_i \…