Mathematics – Probability
Scientific paper
2010-04-20
Mathematics
Probability
Chapter of AMAMEF book. 20 pages.
Scientific paper
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 the real interpolation theory, give examples and applications of this concept. The applications in stochastic finance mainly concern the analysis of discrete time hedging errors. We close the review by indicating some further developments.
Geiss Stefan
Gobet Emmanuel
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