Application of the lent particle method to Poisson-driven SDEs

DOI10.1007/s00440-010-0303-xzbMath1237.60043arXiv0904.3613OpenAlexW2133026919MaRDI QIDQ662825

Laurent Denis, Nicolas Bouleau

Publication date: 13 February 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.3613

zbMATH Keywords

stochastic differential equationLévy processesDirichlet formCarré du Champ operatorenergy image densityPoisson functional

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Iteration of the lent particle method for existence of smooth densities of Poisson functionals ⋮ Hypoellipticity and parabolic hypoellipticity of nonlocal operators under Hörmander's condition ⋮ On parabolic inequalities for generators of diffusions with jumps ⋮ Regularity of the law of stochastic differential equations with jumps under Hörmander's conditions: the lent particle method ⋮ Derivative formulae for stochastic differential equations driven by Poisson random measures ⋮ The Lent Particle Method for Marked Point Processes ⋮ Malliavin calculus approach to statistical inference for Lévy driven SDE's

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