Density estimates for jump diffusion processes

DOI10.1016/J.AMC.2021.126814MaRDI QIDQ2668355zbMATH OpenOpenAlexFDO

Authors Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran

Publication date 3 March 2022

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2104.12168

zbMATH Keywords

density estimatesjump diffusion processMalliavin calculus

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

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Cited in

(14)

• Large deviation estimate of transition densities for jump processes
• Smooth density and its short time estimate for jump process determined by SDE
• Asymptotic expansions of transition densities for hybrid jump-diffusions
• The rate function for some measure-valued jump processes
• Using moment approximations to study the density of jump driven SDEs
• Exact distributions in a jump-diffusion storage model.
• Two-Sided Estimates for Distribution Densities in Models with Jumps
• Density analysis of BSDEs
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Agmon‐type estimates for a class of jump processes
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• LAMN property for jump diffusion processes with discrete observations on a fixed time interval
• Density estimates for jump diffusion processes
• Estimates for the density of a nonlinear Landau process

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