Jumping SDEs: absolute continuity using monotonicity.

DOI10.1016/S0304-4149(01)00149-1zbMath1058.60043WikidataQ105583807 ScholiaQ105583807MaRDI QIDQ1766067

Nicolas Fournier

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsPoisson measurestochastic calculus of variations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (9)

Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications ⋮ On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes ⋮ 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 ⋮ Integration by parts formula and applications to equations with jumps ⋮ Stochastic representation of solution to nonlocal-in-time diffusion ⋮ Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions ⋮ Existence of densities for jumping stochastic differential equations ⋮ On the absolute continuity of Lévy processes with drift

Cites Work

• Exponential decay of the heat kernel over the diagonal. II
• A criterion of density for solutions of Poisson-driven SDEs
• On the existence of smooth densities for jump processes
• Calcul des variations stochastique et processus de sauts
• A Markov process associated with a Boltzmann equation without cutoff and for non-Maxwell molecules.
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