Application of the lent particle method to Poisson-driven SDEs (Q662825)

In the present study, the authors consider an extension of the Malliavin calculus to stochastic differential equations (SDE) driven by processes with jumps. By applying the theory of Dirichlet forms on general Poisson spaces, the regularity assumptions on the coefficients of the SDE can be weakened, e.g., when discussing whether or not the solution admits a density with respect to the Lebesgue measure. The approach is based on the ``lent particle method'' developed by the same authors in [J. Funct. Anal. 257, No. 4, 1144--1174 (2009; Zbl 1174.60023)].