Smoothness of density for stochastic differential equations with Markovian switching

DOI10.3934/DCDSB.2018307MaRDI QIDQ2321076zbMATH OpenOpenAlexWikidataFDO

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)

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

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)

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.

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• 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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