Malliavin calculus for stochastic differential equations driven by subordinated Brownian motions (Q1958472): Difference between revisions

From author's abstract: Malliavin calculus is applicable to functinals of stable processes by using subordination. We prepare Malliavin calculus for stochastic differential equations driven by Brownian motions with deterministic time change, and the conditions that the existence and the regularity of the densities inherit from those of the densities of conditional probabilities. By using these, we prove regularity properties of the solutions of equations driven by subordinated Brownian motions. We also consider equations \[ X_s= JX_0+ \sum^r_{k=1} \int^s_0 \sigma_k(t, x_{t-}) dZ_k(t)+ \int^s_0 b(t, x_t)\,dt \] with Lipschitzian coefficients \(\sigma_1,\dots, \sigma_r\), \(b\), driven by rotation-invariant stable processes \(Z_1,\dots, Z_r\). We prove that the ellipticity of the equations implies the existence of the density of the solution, and we also prove that the regularity of the coefficients implies the regularity of the densities in the case when the equatons are driven by one rotation-invariant stable process.