Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process

DOI10.1051/PS/2018009zbMATH Open1405.60059OpenAlexW2622837784WikidataQ115334243 ScholiaQ115334243MaRDI QIDQ4615430FDOQ4615430

Authors:

Publication date: 28 January 2019

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2018009

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zbMATH Keywords

stable processdensity in small timeLévy processMalliavin calculus for jump processes

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) Stable stochastic processes (60G52) Stochastic integral equations (60H20)

Cites Work

• Probability and stochastics.
• Existence of densities for stable-like driven SDEs with Hölder continuous coefficients
• Lévy Processes and Stochastic Calculus
• Title not available (Why is that?)
• Absolute continuity for some one-dimensional processes
• Malliavin calculus approach to statistical inference for Lévy driven SDE's
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• A criterion of density for solutions of Poisson-driven SDEs
• On the existence of smooth densities for jump processes
• Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Dirichlet forms methods for Poisson point measures and Lévy processes. With emphasis on the creation-annihilation techniques
• LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process

Cited In (5)

• Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise
• LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
• Estimating functions for SDE driven by stable Lévy processes
• Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise
• Intrinsic small time estimates for distribution densities of Lévy processes

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