 Existence of densities for jumping stochastic differential equationsNicolas Fournier and Jean-Sébastien Giet Stochastic Processes and their Applications, 2006, vol. 116, issue 4, 643-661 Abstract: We consider a jumping Markov process . We study the absolute continuity of the law of for t>0. We first consider, as Bichteler and Jacod [K. Bichteler, J. Jacod, Calcul de Malliavin pour les diffusions avec sauts, existence d'une densité dans le cas unidimensionel, in: Séminaire de Probabilités XVII, in: L.N.M., vol. 986, Springer, 1983, pp. 132-157] did, the case where the rate of jumping is constant. We state some results in the spirit of those of [K. Bichteler, J. Jacod, Calcul de Malliavin pour les diffusions avec sauts, existence d'une densité dans le cas unidimensionel, in: Séminaire de Probabilités XVII, in: L.N.M., vol. 986, Springer, 1983, pp. 132-157], with rather weaker assumptions and simpler proofs, not relying on the use of stochastic calculus of variations. We next extend our method to the case where the rate of jumping depends on the spatial variable, and this last result seems to be new. Keywords: Stochastic; differential; equations; Jump; processes; Absolute; continuity (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:116:y:2006:i:4:p:643-661 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.