On the Regularity of Distribution for a Solution of SDE of a Jump Type with Arbitrary Levy Measure of the Noise
The local properties of distributions of solutions of SDE's with jumps are studied. Using the method based on the “time-wise” differentiation on the space of functionals of Poisson point measure, we give a full analog of Hormander condition, sufficient for the solution to have a regular distrib...
Saved in:
Date: | 2005 |
---|---|
Main Author: | |
Format: | Article |
Language: | English |
Published: |
Інститут математики НАН України
2005
|
Series: | Український математичний журнал |
Subjects: | |
Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/165833 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
Cite this: | On the Regularity of Distribution for a Solution of SDE of a Jump Type with Arbitrary Levy Measure of the Noise / A.M. Kulik // Український математичний журнал. — 2005. — Т. 57, № 9. — С. 1261–1283. — Бібліогр.: 13 назв. — англ. |
Institution
Digital Library of Periodicals of National Academy of Sciences of UkraineSummary: | The local properties of distributions of solutions of SDE's with jumps are studied. Using the method based on the “time-wise” differentiation on the space of functionals of Poisson point measure, we give a full analog of Hormander condition, sufficient for the solution to have a regular distribution. This condition is formulated only in terms of coefficients of the equation and does not require any regularity properties of the Levy measure of the noise. |
---|