Smoothness of density for stochastic differential equations with Markovian switching

DOI10.3934/DCDSB.2018307zbMATH Open1420.60070arXiv1409.3927OpenAlexW2962688775WikidataQ128964016 ScholiaQ128964016MaRDI QIDQ2321076FDOQ2321076

Authors: David Nualart, Xiaobin Sun, Yingchao Xie, Yaozhong Hu 

Publication date: 28 August 2019

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Abstract: This paper is concerned with a class of stochastic differential equations with Markovian switching. The Malliavin calculus is used to study the smoothness of the density of the solution under a H"{o}rmander type condition. Furthermore, we obtain a Bismut type formula which is used to establish the strong Feller property.

Full work available at URL: https://arxiv.org/abs/1409.3927

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zbMATH Keywords

Malliavin calculusMarkovian switchingstrong Feller propertyBismut formulasmoothness of density

Mathematics Subject Classification ID

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

Cited In (3)

• Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
• Exponential ergodicity for regime-switching diffusion processes in total variation norm
• Strong convergence rate for slow-fast stochastic differential equations with Markovian switching

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