Integration by parts formula and applications to equations with jumps

• 成果类型: Article
• 署名作者: Bally, Vlad; Clement, Emmanuelle
• 署名单位: Universite Gustave-Eiffel; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-010-0310-y
• 发表日期: 2011
• 页码: 613-657
• 关键词: absolute continuity; densities; EXISTENCE; calculus

摘要

We establish an integration by parts formula in an abstract framework in order to study the regularity of the law for processes arising as the solution of stochastic differential equations with jumps, including equations with discontinuous coefficients for which the Malliavin calculus developed by Bichteler et al. (Stochastics Monographs, vol 2. Gordon & Breach, New York, 1987) and Bismut (Z Wahrsch Verw Gebiete 63(2):147-235, 1983) fails.