Existence of densities for jumping stochastic differential equations

DOI10.1016/j.spa.2005.11.002zbMath1090.60053OpenAlexW2085163693MaRDI QIDQ2490049

Nicolas Fournier, Jean-Sébastien Giet

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spa.2005.11.002

zbMATH Keywords

Markov jump processesabsolute continuityfragmentation equationsexistence of densitynon-constant rate of jumpingregularization property

Mathematics Subject Classification ID

Related Items (5)

Integration by parts formula and applications to equations with jumps ⋮ Application of the lent particle method to Poisson-driven SDEs ⋮ Asymptotic behavior of solutions of the fragmentation equation with shattering: an approach via self-similar Markov processes ⋮ On the absolute continuity of Lévy processes with drift ⋮ Substochastic semigroups and densities of piecewise deterministic Markov processes

Cites Work

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• A criterion of density for solutions of Poisson-driven SDEs
• Jumping SDEs: absolute continuity using monotonicity.
• Existence and regularity of a solution of a Kac equation without cutoff using the stochastic calculus of variations
• On small particles in coagulation-fragmentation equations
• On the existence of smooth densities for jump processes
• Calcul des variations stochastique et processus de sauts

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