Using moment approximations to study the density of jump driven SDEs

DOI10.1214/22-EJP785zbMath1492.60127OpenAlexW4285244441WikidataQ114060449 ScholiaQ114060449MaRDI QIDQ2144339

Vlad Bally, Arturo Kohatsu-Higa, Lucia Caramellino

Publication date: 13 June 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/22-ejp785

zbMATH Keywords

moment probleminterpolation methodsmoothness of densitiesLévy driven SDE's

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Moment problems (44A60) Stochastic integral equations (60H20)

Cites Work

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