Using moment approximations to study the density of jump driven SDEs

DOI10.1214/22-EJP785MaRDI QIDQ2144339zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

interpolation methodLévy driven SDE'smoment problemsmoothness of densities

Mathematics Subject Classification ID

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

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Cited in

(3)

• Total variation distance between a jump-equation and its Gaussian approximation
• 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

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