scientific article

zbMath1123.60040MaRDI QIDQ3411266

Alexei M. Kulik

Publication date: 8 December 2006

Full work available at URL: http://www.ams.org/tpms/2006-72-00/S0094-9000-06-00666-1/home.html

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zbMATH Keywords

Malliavin calculusLevy processLevy measure

Mathematics Subject Classification ID

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

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Functionals of a Lévy process on canonical and generic probability spaces ⋮ Using moment approximations to study the density of jump driven SDEs ⋮ Existence of densities for multi-type continuous-state branching processes with immigration ⋮ Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure ⋮ Absolute continuity for some one-dimensional processes ⋮ Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem ⋮ Normal convergence using Malliavin calculus with applications and examples ⋮ Exponential ergodicity of the solutions to SDE's with a jump noise ⋮ Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps ⋮ Total variation distance between a jump-equation and its Gaussian approximation

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