Smooth densities for stochastic differential equations with jumps

Details Smooth densities for stochastic differential equations with jumps Smooth densities for stochastic differential equations with jumps

2007-02-13

arxiv.org/abs/math/0702364v3

Mathematics

Probability

Scientific paper

We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure under a uniform version of Hoermander's conditions. Unlike previous results in the area the result covers a class of infinite activity jump processes. The result is accompolished by using carefully crafted refinements to the classical arguments used in proving smoothness of density via Malliavin calculus. In particular, a key ingredient is provided by our proof that the semimartinagle inequality of Norris persists for discontinuous semimartingales when the jumps of the semimartinagale are small.

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