Density functions of doubly-perturbed stochastic differential equations with jumps

DOI10.1007/S11464-017-0659-7MaRDI QIDQ1705064zbMATH OpenOpenAlexFDO

Authors Yulin Song

Publication date 14 March 2018

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

Full work available at URL https://doi.org/10.1007/s11464-017-0659-7

zbMATH Keywords

absolute continuitydoubly-perturbed stochastic differential equations (SDEs)Malliavin calculussubordinated Brownian motions

Mathematics Subject Classification ID

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

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Cites work

• Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
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• Densities for SDEs driven by degenerate \(\alpha\)-stable processes
• Doubly perturbed jump-diffusion processes
• scientific article; zbMATH DE number 3947360 (Why is no real title available?)
• scientific article; zbMATH DE number 1210405 (Why is no real title available?)
• scientific article; zbMATH DE number 816095 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Malliavin calculus for stochastic differential equations driven by subordinated Brownian motions
• Perturbed Brownian motions
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Some calculations for doubly perturbed Brownian motion
• The Malliavin Calculus and Related Topics
• Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)

Cited in

(7)

• The averaging method for doubly perturbed distribution dependent SDEs
• Distribution of functionals of special diffusions with jumps
• Smooth densities of the laws of perturbed diffusion processes
• ABSOLUTE CONTINUITY FOR SOLUTIONS TO STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH JUMPS
• On the differential equation satisfied by the random measure density of a jump-type Fleming–Viot process
• Doubly perturbed uncertain differential equations
• Doubly perturbed distribution dependent stochastic differential equation

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