Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
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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.
KeywordsMalliavin calculus Markovian switching smoothness of density subordinated Brownian motion
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The authors would like to express their gratitude to the referees for their valuable comments. This work was supported by the National Natural Science Foundation of China (Grant Nos. 11601196, 11771187), the Natural Science Foundation of the Jiangsu Higher Education Institutions of China (16KJB110006), and the Priority Academic Program Development of Jiangsu Higher Education Institutions.
- 3.Hu Y, Nualart D, Sun X, Xie Y. Smoothness of density for stochastic differential equations with Markovian switching. Discrete Contin Dyn Syst Ser B, https://doi.org/10.3934/dcdsb.2018307