Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching

Abstract

We consider a class of stochastic differential equations driven by subordinated Brownian motion with Markovian switching. We use Malliavin calculus to study the smoothness of the density for the solution under uniform Hörmander type condition.

Keywords

Malliavin calculus / Markovian switching / smoothness of density / subordinated Brownian motion

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