Title of article :
Smooth densities for solutions to stochastic differential equations with jumps
Author/Authors :
Cass، نويسنده , , Thomas، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
We consider a solution x t to a generic Markovian jump diffusion and show that for any t 0 > 0 the law of x t 0 has a C ∞ density with respect to the Lebesgue measure under a uniform version of the Hörmander conditions. Unlike previous results in the area the result covers a class of infinite activity jump processes. The result is accomplished using carefully crafted refinements to the classical arguments used in proving the smoothness of density via Malliavin calculus. In particular, we provide a proof that the semimartingale inequality of J. Norris persists for discontinuous semimartingales when the jumps are small.
Keywords :
Jump diffusions , Malliavin Calculus , Semimartingales
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications