On the Estimations of Smooth Densities for Integro-differential Operators

DOI10.1081/SAP-120028032zbMath1037.62027MaRDI QIDQ4450723

Yingchao Xie

Publication date: 15 February 2004

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusstochastic differential equation with jumpsWiener-Poisson functional

Mathematics Subject Classification ID

Density estimation (62G07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inference from stochastic processes (62M99) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Malliavin calculus for white noise driven parabolic SPDEs
• Density in small time at accessible points for jump processes
• Smoothness of harmonic functions for processes with jumps.
• Malliavin calculus for parabolic SPDEs with jumps.
• On the existence of smooth densities for jump processes
• Density in small time for Lévy processes
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