Density functions of doubly-perturbed stochastic differential equations with jumps

Abstract

We consider a real-valued doubly-perturbed stochastic differential equation driven by a subordinated Brownian motion. By using classic Malliavin calculus, we prove that the law of the solution is absolutely continuous with respect to the Lebesgue measure on ℝ.

Keywords

Doubly-perturbed stochastic differential equations (SDEs) / absolute continuity / Malliavin calculus / subordinated Brownian motions

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