Regularity of density for SDEs driven by degenerate lévy noises

Yuling Song, Xicheng Zhang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

18 Citations (Scopus)

Abstract

By using Bismut's approach to the Malliavin calculus with jumps, we study the regularity of the distributional density for SDEs driven by degenerate additive Lévy noises. Under full Hormander's conditions, we prove the existence of distributional density and the weak continuity in the first variable of the distributional density. Moreover, under a uniform first order Lie's bracket condition, we also prove the smoothness of the density.

Original languageEnglish
JournalElectronic Journal of Probability
Volume20
DOIs
Publication statusPublished - 2015
Externally publishedYes

Keywords

  • Distributional density
  • Girsanov's theorem
  • Hormander's condition
  • Malliavin calculus

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