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Regularity of the Law of Stochastic Differential Equations with Jumps Under Hörmander’s Conditions: The Lent Particle Method

Author

Listed:
  • Jiagang Ren

    (Sun Yat-Sen University)

  • Hua Zhang

    (Jiangxi University of Finance and Economics)

Abstract

In this paper, we study the regularity of the laws of stochastic differential equations with jumps using the recently well-developed lent particle method introduced by Bouleau and Denis under some kind of Hörmander’s conditions.

Suggested Citation

  • Jiagang Ren & Hua Zhang, 2019. "Regularity of the Law of Stochastic Differential Equations with Jumps Under Hörmander’s Conditions: The Lent Particle Method," Journal of Theoretical Probability, Springer, vol. 32(2), pages 1023-1050, June.
    • Handle: RePEc:spr:jotpro:v:32:y:2019:i:2:d:10.1007_s10959-018-0875-4
    DOI: 10.1007/s10959-018-0875-4
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    Cited by:

    1. Ren, Jiagang & Zhang, Hua, 2023. "Existence and smoothness of the densities of stochastic functional differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 140-175.

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