Existence of density functions for SDEs driven by pure-jump processes
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866915583704956928 |
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| author | Nakagawa, Takuya Suzuki, Ryoichi |
| author_facet | Nakagawa, Takuya Suzuki, Ryoichi |
| contents | We verify the existence of density functions of the running maximum of a stochastic differential equation (SDE) driven by a Brownian motion and a non-truncated stable process. This is proved by the existence of density functions of the running maximum of Wiener-Poisson functionals resulting from Bismut's approach to Malliavin calculus for jump processes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_02803 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Existence of density functions for SDEs driven by pure-jump processes Nakagawa, Takuya Suzuki, Ryoichi Probability 60H10 60G52 60H07 We verify the existence of density functions of the running maximum of a stochastic differential equation (SDE) driven by a Brownian motion and a non-truncated stable process. This is proved by the existence of density functions of the running maximum of Wiener-Poisson functionals resulting from Bismut's approach to Malliavin calculus for jump processes. |
| title | Existence of density functions for SDEs driven by pure-jump processes |
| topic | Probability 60H10 60G52 60H07 |
| url | https://arxiv.org/abs/2306.02803 |