Smooth densities for stochastic differential equations with jumps
Probability
2007-10-02 v3
Abstract
We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure under a uniform version of Hoermander's conditions. Unlike previous results in the area the result covers a class of infinite activity jump processes. The result is accompolished by using carefully crafted refinements to the classical arguments used in proving smoothness of density via Malliavin calculus. In particular, a key ingredient is provided by our proof that the semimartinagle inequality of Norris persists for discontinuous semimartingales when the jumps of the semimartinagale are small.
Cite
@article{arxiv.math/0702364,
title = {Smooth densities for stochastic differential equations with jumps},
author = {Thomas Cass},
journal= {arXiv preprint arXiv:math/0702364},
year = {2007}
}