Local Malliavin Calculus for Lévy Processes and Applications

Jorge A. León, Josep L. Solé, Frederic Utzet, Josep Vives

Published 2012-10-03Version 1

In this paper a Malliavin calculus for L\'evy processes based on a family of true derivative operators is developed. The starting point is an extension to L\'evy processes of the pioneering paper by Carlen and Pardoux [8] for the Poisson process, and our approach includes also the classical Malliavin derivative for Gaussian processes. We obtain a sufficient condition for the absolute continuity of functionals of the L\'evy process. As an application, we analyze the absolute continuity of the law of the solution of some stochastic differential equations.