Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with Lévy noise

DOI10.1007/S11253-011-0519-7MaRDI QIDQ765405zbMATH OpenOpenAlexWikidataFDO

Authors S. V. Bodnarchuk, A. M. Kulik

Publication date 19 March 2012

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11253-011-0519-7

zbMATH Keywords

multidimensional Ornstein-Uhlenbeck processlinear stochastic differential equation with Lévy noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 796421 (Why is no real title available?)
• scientific article; zbMATH DE number 3079573 (Why is no real title available?)
• Conditions for the existence and smoothness of the distribution density of the Ornstein-Uhlenbeck process with Lévy noise
• Densities for Ornstein-Uhlenbeck processes with jumps
• On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes
• Stochastic Equations in Infinite Dimensions

Cited in

(4)

• Control of linear dynamical systems by time transformations
• Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• Conditions for the existence and smoothness of the distribution density of the Ornstein-Uhlenbeck process with Lévy noise

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