A criterion of density for solutions of Poisson-driven SDEs

DOI10.1007/s004400000082zbMath0969.60064MaRDI QIDQ1596316

Laurent Denis

Publication date: 2 October 2001

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Poisson measureDirichlet formsstochastic differential equations driven by a Poisson measure

Mathematics Subject Classification ID

Related Items (16)

Functionals of a Lévy process on canonical and generic probability spaces ⋮ Using moment approximations to study the density of jump driven SDEs ⋮ Energy image density property and the lent particle method for Poisson measures ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Existence and uniqueness of stochastic differential equations with random impulses and Markovian switching under non-Lipschitz conditions ⋮ Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure ⋮ Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process ⋮ Absolute continuity for some one-dimensional processes ⋮ On parabolic inequalities for generators of diffusions with jumps ⋮ Application of the lent particle method to Poisson-driven SDEs ⋮ Error calculus and regularity of Poisson functionals: The lent particle method ⋮ Integration by parts formula for locally smooth laws and applications to sensitivity computations ⋮ Jumping SDEs: absolute continuity using monotonicity. ⋮ Existence of densities for jumping stochastic differential equations ⋮ On the absolute continuity of Lévy processes with drift ⋮ Invariant measures related with Poisson driven stochastic differential equation.

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