Existence of density functions for SDEs driven by pure-jump processes

MaRDI QIDQ6439228zbMATH OpenFDO

Authors Takuya Nakagawa, Ryoichi Suzuki

Publication date 5 June 2023

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We verify the existence of density functions of the running maximum of a stochastic differential equation (SDE) driven by a Brownian motion and a non-truncated stable process. This is proved by the existence of density functions of the running maximum of Wiener-Poisson functionals resulting from Bismut's approach to Malliavin calculus for jump processes.

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