Smooth density and its short time estimate for jump process determined by SDE

Yasushi Ishikawa, Hiroshi Kunita and Masaaki Tsuchiya

Stochastic Processes and their Applications, 2018, vol. 128, issue 9, 3181-3219

Abstract: We study a nondegenerate jump process on Euclidean space determined by SDE. We show the existence of the smooth density p(s,x;t,y) of its transition probability and its short time asymptotics as t−s→0. Assumptions required for these facts are relaxed considerably from past works by Picard and Ishikawa–Kunita. We show these facts using Malliavin calculus on Poisson space. Our calculus is simpler and more efficient than previous works.

Keywords: Jump process; Malliavin calculus; Smooth density; Short time asymptotics (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spa.2017.10.016

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