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Frontiers of Mathematics in China

, Volume 13, Issue 6, pp 1447–1467 | Cite as

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

  • Xiaobin SunEmail author
  • Yingchao Xie
Research Article
  • 9 Downloads

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 

MSC

60H10 60H07 

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Notes

Acknowledgements

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.

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Copyright information

© Higher Education Press and Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of Mathematics and StatisticsJiangsu Normal UniversityXuzhouChina

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