Smooth density and its short time estimate for jump process determined by SDE |
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Authors: | Yasushi Ishikawa Hiroshi Kunita Masaaki Tsuchiya |
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Affiliation: | 1. Department of Mathematics, Ehime University, Matsuyama, 7908577, Japan;2. Kyushu University, Fukuoka, 8190395, Japan;3. Kanazawa University, Kanazawa 9201192, Japan |
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Abstract: | We study a nondegenerate jump process on Euclidean space determined by SDE. We show the existence of the smooth density of its transition probability and its short time asymptotics as . Assumptions required for these facts are relaxed considerably from past works by Picard and Ishikawa–Kunita. We show these facts using Malliavin calculus on Poisson space. Our calculus is simpler and more efficient than previous works. |
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Keywords: | primary 60H07 secondary 60H30 60J75 Jump process Malliavin calculus Smooth density Short time asymptotics |
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