ABSOLUTE CONTINUITY FOR SOLUTIONS TO STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH JUMPS

DOI10.1142/S0219493707001986MaRDI QIDQ3595336zbMATH OpenOpenAlexFDO

Authors Atsushi Takeuchi

Publication date 10 August 2007

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493707001986

zbMATH Keywords

Malliavin calculusPoisson space

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic functional-differential equations (34K50)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• Calcul des variations stochastique et processus de sauts
• Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
• On the existence of smooth densities for jump processes
• Smooth densities for degenerate stochastic delay equations with hereditary drift

Cited in

(12)

• On parabolic inequalities for generators of diffusions with jumps
• Propriété d'absolue continuité pour les équations différentielles stochastiques dépendant du passé. (Absolute continuity property for stochastic differential equations depending on the past)
• Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
• Absolute continuity of joint laws of multiple stable stochastic integrals
• On the absolute continuity of Lévy processes with drift
• Density functions of doubly-perturbed stochastic differential equations with jumps
• Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure
• Absolute continuity of a law of an Itô process driven by a Lévy process to another Itô process
• Existence and smoothness of the densities of stochastic functional differential equations with jumps
• Jumping SDEs: absolute continuity using monotonicity.
• Absolute continuity of distributions of solutions of anticipating stochastic differential equations
• Analysis of nondegenerate Wiener-Poisson functionals and its applications to Itō's SDE with jumps

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