Smooth density of canonical stochastic differential equation with jumps

MaRDI QIDQ3579544zbMATH OpenFDO

Authors Hiroshi Kunita

Publication date 9 August 2010

Full work available at URL http://smf4.emath.fr/en/Publications/Asterisque/2009/327/html/smf_ast_327_69-91.php

zbMATH Keywords

Malliavin calculusjump processsmooth densityLévy processHörmander conditioncanonical SDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(15)

• On parabolic inequalities for generators of diffusions with jumps
• Support theorem for jump processes of canonical type
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• Geometric ergodicity of the multivariate COGARCH(1,1) process
• Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps
• On smoothing properties of transition semigroups associated to a class of SDEs with jumps
• Fundamental solutions of nonlocal Hörmander's operators
• Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
• Smooth densities for solutions to stochastic differential equations with jumps
• On the existence of smooth densities for jump processes
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• Smoothness of the law of manifold-valued Markov processes with jumps
• Regularity of density for SDEs driven by degenerate Lévy noises
• Nondegenerate SDEs with jumps and their hypoelliptic properties
• Smooth density and its short time estimate for jump process determined by SDE

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