I am reading Oksendal's book "Malliavin calculus for Levy processes with application to finance". In the proof of Lemma 4.9 (page 47), the author interchanges the Malliavin derivative $D_t$ with the Lebesgue integral $ds$. $$D_t\int_0^T u^2(s)\,ds = 2\int_0^T u(s)D_tu(s)\,ds$$ Could anyone shed any light?
2026-02-23 04:53:35.1771822415
Interchanging Malliavin derivative with Lebesgue integral
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