Integration by parts formula and applications to equations with jumps

Details Integration by parts formula and applications to equations with jumps Integration by parts formula and applications to equations with jumps

2009-11-16

arxiv.org/abs/0911.3017v1

Mathematics

Probability

Scientific paper

We establish an integration by parts formula in an abstract framework in
order to study the regularity of the law for processes solution of stochastic
differential equations with jumps, including equations with discontinuous
coefficients for which the Malliavin calculus developed by Bismut and
Bichteler, Gravereaux and Jacod fails.

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