Density estimates for jump diffusion processes

DOI10.1016/J.AMC.2021.126814OpenAlexW3214811711MaRDI QIDQ2668355

Ngoc Khue Tran, Eulalia Nualart, Arturo Kohatsu-Higa

Publication date: 3 March 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.12168

zbMATH Keywords

Malliavin calculusdensity estimatesjump diffusion process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic calculus of variations and the Malliavin calculus (60H07) Transition functions, generators and resolvents (60J35)

Related Items (1)

LAMN property for jump diffusion processes with discrete observations on a fixed time interval

Cites Work

• Asymptotic results for renewal risk models with risky investments
• On smoothing properties of transition semigroups associated to a class of SDEs with jumps
• Fundamental solutions and geometry of the sum of squares of vector fields
• The Malliavin Calculus and Related Topics
• Introduction to Malliavin Calculus
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