Smooth densities for stochastic differential equations with jumps
| dc.creator | Cass, Thomas | |
| dc.date | 2007-02-13 | |
| dc.date | 2007-10-02 | |
| dc.date.accessioned | 2026-07-07T08:33:24Z | |
| dc.date.available | 2026-07-07T08:33:24Z | |
| dc.description | We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure under a uniform version of Hoermander's conditions. Unlike previous results in the area the result covers a class of infinite activity jump processes. The result is accompolished by using carefully crafted refinements to the classical arguments used in proving smoothness of density via Malliavin calculus. In particular, a key ingredient is provided by our proof that the semimartinagle inequality of Norris persists for discontinuous semimartingales when the jumps of the semimartinagale are small. | |
| dc.identifier | https://arxiv.org/abs/math/0702364 | |
| dc.identifier | http://arxiv.org/abs/math/0702364 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/139114 | |
| dc.subject | Probability | |
| dc.subject | 60H07, 60H15 | |
| dc.title | Smooth densities for stochastic differential equations with jumps | |
| dc.type | text |