Smoothness of density for stochastic differential equations with Markovian switching
Probability
2017-10-20 v2
Abstract
This paper is concerned with a class of stochastic differential equations with Markovian switching. The Malliavin calculus is used to study the smoothness of the density of the solution under a H\"{o}rmander type condition. Furthermore, we obtain a Bismut type formula which is used to establish the strong Feller property.
Keywords
Cite
@article{arxiv.1409.3927,
title = {Smoothness of density for stochastic differential equations with Markovian switching},
author = {Yaozhong Hu and David Nualart and Xiaobin Sun and Yingchao Xie},
journal= {arXiv preprint arXiv:1409.3927},
year = {2017}
}
Comments
17 pages