Integration by parts formula and applications to equations with jumps |
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Authors: | Vlad Bally Emmanuelle Cl��ment |
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Affiliation: | 1. Laboratoire d??Analyse et de Math??matiques Appliqu??es, Universit?? Paris-Est, UMR 8050, 5 Bld Descartes, Champs-sur-marne, 77454, Marne-la-Vall??e Cedex 2, France
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Abstract: | We establish an integration by parts formula in an abstract framework in order to study the regularity of the law for processes arising as the solution of stochastic differential equations with jumps, including equations with discontinuous coefficients for which the Malliavin calculus developed by Bichteler et?al. (Stochastics Monographs, vol 2. Gordon & Breach, New York, 1987) and Bismut (Z Wahrsch Verw Gebiete 63(2):147?C235, 1983) fails. |
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