Density estimates for jump diffusion processes

Arturo Kohatsu-Higa, Eulalia Nualart and Ngoc Khue Tran

Applied Mathematics and Computation, 2022, vol. 420, issue C

Abstract: We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite moments. We show upper and lower estimates for the density of the solution in the case that the jump amplitudes follow a Gaussian or Laplacian law. The proof of the lower bound uses a general expression for the density of the solution in terms of the convolution of the density of the continuous part and the jump amplitude density. The upper bound uses an upper tail estimate in terms of the jump amplitude distribution and techniques of the Malliavin calculus in order to bound the density by the tails of the solution. We also extend the lower bounds to the multidimensional case.

Keywords: Density estimates; Jump diffusion process; Malliavin calculus (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:420:y:2022:i:c:s0096300321008973

DOI: 10.1016/j.amc.2021.126814

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