On the existence of smooth densities for jump processes

DOI10.1007/BF01191910zbMATH Open0853.60064OpenAlexW2073746961WikidataQ105583499 ScholiaQ105583499MaRDI QIDQ1922097FDOQ1922097

Authors: Jean Picard 

Publication date: 16 December 1996

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01191910

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zbMATH Keywords

characteristic functionMalliavin calculusdiffusionsLévy processLévy measure

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Markov processes (60J99)

Cites Work

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Cited In (only showing first 100 items - show all)

• Using moment approximations to study the density of jump driven SDEs
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• Density in small time for Lévy processes
• Small-time expansions for local jump-diffusion models with infinite jump activity
• Absolute continuity for some one-dimensional processes
• On the Malliavin calculus for Markov processes with jumps
• Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Support theorem for jump processes of canonical type
• Smooth density of canonical stochastic differential equation with jumps
• Regularity of the laws of shot noise series and of related processes
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• Density estimate in small time for jump processes with singular Lévy measures
• Poisson process Fock space representation, chaos expansion and covariance inequalities
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