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arXiv:2306.02803 [math.PR]AbstractReferencesReviewsResources

Existence of density functions for SDEs driven by pure-jump processes

Takuya Nakagawa, Ryoichi Suzuki

Published 2023-06-05Version 1

We verify the existence of density functions of the running maximum of a stochastic differential equation (SDE) driven by a Brownian motion and a non-truncated stable process. This is proved by the existence of density functions of the running maximum of Wiener-Poisson functionals resulting from Bismut's approach to Malliavin calculus for jump processes.

Comments: 21 pages
Categories: math.PR
Subjects: 60H10, 60G52, 60H07
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