Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching

DOI10.1007/s11464-018-0735-7zbMath1409.60090arXiv1410.5913OpenAlexW2780665063WikidataQ128991387 ScholiaQ128991387MaRDI QIDQ1731907

Yingchao Xie, Xiaobin Sun

Publication date: 14 March 2019

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.5913

zbMATH Keywords

Malliavin calculusMarkovian switchingsubordinated Brownian motionsmoothness of density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Exponential ergodicity for regime-switching diffusion processes in total variation norm

Cites Work

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• Hybrid switching diffusions. Properties and applications
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• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• The Malliavin Calculus and Related Topics
• Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance

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