Existence of density functions for the running maximum of a Lévy-Itô diffusion

DOI10.1007/s11118-017-9625-yzbMath1436.60055OpenAlexW2608416681MaRDI QIDQ1692337

Yulin Song, Yingchao Xie

Publication date: 26 January 2018

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11118-017-9625-y

zbMATH Keywords

stochastic differential equationMalliavin calculusdensity functionsrunning maximumWiener-Poisson functionals

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Regularity for distribution-dependent SDEs driven by jump processes, Density functions of distribution dependent SDEs driven by Lévy noises, Gradient estimates and exponential ergodicity for mean-field SDEs with jumps

Cites Work

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