Smooth densities for solutions to stochastic differential equations with jumps
نویسندگان
چکیده
منابع مشابه
Smooth Densities for Stochastic Differential Equations with Jumps
We consider a solution xt to a generic Markovian jump diffusion and show that for any t0 > 0 the law of xt0 has a C ∞ density with respect to Lebesgue measure under a uniform version of Hörmander’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 argu...
متن کاملStochastic Differential Equations with Jumps
Gradient estimates and a Harnack inequality are established for the semigroup associated to stochastic differential equations driven by Poisson processes. As applications, estimates of the transition probability density, the compactness and ultraboundedness of the semigroup are studied in terms of the corresponding invariant measure.
متن کاملStochastic differential equations with jumps,
This paper is a survey of uniqueness results for stochastic differential equations with jumps and regularity results for the corresponding harmonic functions. Subject classifications: Primary 60H10; Secondary 60H30, 60J75
متن کاملSmoothness of density for solutions to stochastic differential equations with jumps
We consider a solution xt to a generic stochastic differential equation with jumps and show that for any t0 > 0 xt0 has a C ∞ density with respect to Lebesgue measure under a uniform version of Hörmander’s conditions. Our results are proved subject to some restrictions on the rate of growth of the jump measure near zero and are accomplished using developments of traditional arguments in Malliav...
متن کاملStrong solutions for stochastic porous media equations with jumps
We prove global well-posedness in the strong sense for stochastic generalized porous media equations driven by locally square integrable martingales with stationary independent increments.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2009
ISSN: 0304-4149
DOI: 10.1016/j.spa.2008.07.005