Frontiers of Mathematics in China >

2018 , Vol. 13 >Issue 6: 1447 - 1467

DOI: https://doi.org/10.1007/s11464-018-0735-7

RESEARCH ARTICLE

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

  • Xiaobin SUN ,
  • Yingchao XIE
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  • School of Mathematics and Statistics, Jiangsu Normal University, Xuzhou 221116, China

Received date: 02 Dec 2017

Accepted date: 29 Oct 2018

Published date: 02 Jan 2019

Copyright

2018 Higher Education Press and Springer-Verlag GmbH Germany, part of Springer Nature
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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.

Key words： Malliavin calculus; Markovian switching; smoothness of density; subordinated Brownian motion

Cite this article

Xiaobin SUN , Yingchao XIE . Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching[J]. Frontiers of Mathematics in China, 2018 , 13(6) : 1447 -1467 . DOI: 10.1007/s11464-018-0735-7

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