Using moment approximations to study the density of jump driven SDEs
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Publication:2144339
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Cites work
- scientific article; zbMATH DE number 5079343 (Why is no real title available?)
- scientific article; zbMATH DE number 3905577 (Why is no real title available?)
- scientific article; zbMATH DE number 46016 (Why is no real title available?)
- scientific article; zbMATH DE number 2069253 (Why is no real title available?)
- scientific article; zbMATH DE number 4122983 (Why is no real title available?)
- A criterion of density for solutions of Poisson-driven SDEs
- Analytic methods in the theory of differential and pseudo-differential equations of parabolic type
- Approximations of small jumps of Lévy processes with a view towards simulation
- Calcul des variations stochastique et processus de sauts
- Convergence and regularity of probability laws by using an interpolation method
- Densities for SDEs driven by degenerate \(\alpha\)-stable processes
- Integration by parts formula with respect to jump times for stochastic differential equations
- Integration by parts formulas and the Riesz transform
- Lévy Processes and Stochastic Calculus
- Lévy measure with generalized polar decomposition and the associated sde with jumps
- Malliavin Monte Carlo Greeks for jump diffusions
- On the existence of smooth densities for jump processes
- On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise
- Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
- Regularity of density for SDEs driven by degenerate Lévy noises
- Régularité de processus de sauts dégénérés. II. (Regularity of degenerate jump processes. II)
- Smooth densities for solutions to stochastic differential equations with jumps
- Smooth density and its short time estimate for jump process determined by SDE
- Stochastic calculus of variations for jump processes
- Stochastic flows and jump-diffusions
- The Malliavin Calculus and Related Topics
- The Malliavin calculus for SDE with jumps and the partially hypoelliptic problem
- The moment problem
- Upper bounds for the function solution of the homogeneous \(2D\) Boltzmann equation with hard potential
Cited in
(3)- Total variation distance between a jump-equation and its Gaussian approximation
- Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
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