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

被引：0

作者：

Sun, Xiaobin ^{[1
]}

Xie, Yingchao ^{[1
]}

机构：

[1] Jiangsu Normal Univ, Sch Math & Stat, Xuzhou 221116, Jiangsu, Peoples R China

来源：

FRONTIERS OF MATHEMATICS IN CHINA | 2018年 / 13卷 / 06期

基金：

中国国家自然科学基金;

关键词：

Malliavin calculus; Markovian switching; smoothness of density; subordinated Brownian motion; 60H10; 60H07; STOCHASTIC DIFFERENTIAL-EQUATIONS; STABILITY;

D O I：

10.1007/s11464-018-0735-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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 Hormander type condition.

引用

页码：1447 / 1467

页数：21

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