Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching

doi:10.1007/s11464-018-0735-7

Front. Math. China

2018, Vol. 13

Issue (6) : 1447-1467 https://doi.org/10.1007/s11464-018-0735-7

RESEARCH ARTICLE

Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching

Xiaobin SUN(

), Yingchao XIE

School of Mathematics and Statistics, Jiangsu Normal University, Xuzhou 221116, China

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Abstract

We consider a class of stochastic differential equations driven by subordinated Brownian motion with Markovian switching. We use Malliavin calculus to study the smoothness of the density for the solution under uniform Hörmander type condition.

Keywords Malliavin calculus Markovian switching smoothness of density subordinated Brownian motion

Corresponding Author(s): Xiaobin SUN

Issue Date: 02 January 2019

Cite this article:

Xiaobin SUN,Yingchao XIE. Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching[J]. Front. Math. China, 2018, 13(6): 1447-1467.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-018-0735-7
https://academic.hep.com.cn/fmc/EN/Y2018/V13/I6/1447

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