Existence and smoothness of the densities of stochastic functional differential equations with jumps

Jiagang Ren and Hua Zhang

Stochastic Processes and their Applications, 2023, vol. 157, issue C, 140-175

Abstract: In this paper, we study the existence and smoothness of the densities of stochastic functional differential equations with jumps whose proof are based on recently well-developed lent particle method introduced by Bouleau and Denis.

Keywords: Existence; Smoothness; Densities; Stochastic functional differential equations; Wiener–Poisson functional; Lévy processes (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:157:y:2023:i:c:p:140-175

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DOI: 10.1016/j.spa.2022.12.001

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