具有马尔可夫切换的从属布朗运动驱动的随机微分方程的光滑密度
概率论
2017-11-27 v2
摘要
本文考虑一类由具有马尔可夫切换的从属布朗运动驱动的随机微分方程。我们使用 Malliavin 分析在一致 H"ormander 型条件下研究解密度的光滑性。
引用
@article{arxiv.1410.5913,
title = {Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching},
author = {Xiaobin Sun and Yingchao Xie},
journal= {arXiv preprint arXiv:1410.5913},
year = {2017}
}
备注
17 pages. arXiv admin note: text overlap with arXiv:1409.3927. We consider the SDE with Markovian switching, which repaces the SDE with state-dependent switching