Integration by parts formula and applications to equations with jumps
نویسندگان
چکیده
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. 2000 MSC. Primary: 60H07, Secondary 60G51
منابع مشابه
Integration by parts formula with respect to jump times for stochastic differential equations
We establish an integration by parts formula based on jump times in an abstract framework in order to study the regularity of the law for processes solution of stochastic differential equations with jumps. 2010 MSC. Primary: 60H07, Secondary: 60G55, 60G57
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