Using moment approximations to study the density of jump driven SDEs

DOI10.1214/22-EJP785zbMATH Open1492.60127OpenAlexW4285244441WikidataQ114060449 ScholiaQ114060449MaRDI QIDQ2144339FDOQ2144339

Authors: Vlad Bally, Lucia Caramellino, Arturo Kohatsu-Higa 

Publication date: 13 June 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/22-ejp785

Recommendations

• Smooth densities for solutions to stochastic differential equations with jumps
• On the existence of smooth densities for jump processes
• Regularity of density for SDEs driven by degenerate Lévy noises
• Density estimates for jump diffusion processes
• Total variation distance between a jump-equation and its Gaussian approximation

zbMATH Keywords

moment probleminterpolation methodsmoothness of densitiesLévy driven SDE's

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Moment problems (44A60) Stochastic integral equations (60H20)

Cites Work

• Approximations of small jumps of Lévy processes with a view towards simulation
• Malliavin Monte Carlo Greeks for jump diffusions
• The Malliavin Calculus and Related Topics
• Lévy Processes and Stochastic Calculus
• Analytic methods in the theory of differential and pseudo-differential equations of parabolic type
• Title not available (Why is that?)
• Smooth densities for solutions to stochastic differential equations with jumps
• A criterion of density for solutions of Poisson-driven SDEs
• On the existence of smooth densities for jump processes
• Title not available (Why is that?)
• Calcul des variations stochastique et processus de sauts
• Densities for SDEs driven by degenerate \(\alpha\)-stable processes
• Convergence and regularity of probability laws by using an interpolation method
• Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
• Régularité de processus de sauts dégénérés. II. (Regularity of degenerate jump processes. II)
• Title not available (Why is that?)
• Lévy measure with generalized polar decomposition and the associated sde with jumps
• The Malliavin calculus for SDE with jumps and the partially hypoelliptic problem
• Regularity of density for SDEs driven by degenerate Lévy noises
• Integration by parts formulas and the Riesz transform
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic calculus of variations for jump processes
• Integration by parts formula with respect to jump times for stochastic differential equations
• The moment problem
• Stochastic flows and jump-diffusions
• Smooth density and its short time estimate for jump process determined by SDE
• On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise
• Upper bounds for the function solution of the homogeneous \(2D\) Boltzmann equation with hard potential

Cited In (2)

• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
• Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps

This page was built for publication: Using moment approximations to study the density of jump driven SDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2144339)