Density functions of doubly-perturbed stochastic differential equations with jumps

作者：Song, Yulin^*

来源：Frontiers of Mathematics in China, 2018, 13(1): 161-172.

DOI：10.1007/s11464-017-0659-7

• Doubly-perturbed stochastic differential equations (SDEs)
• absolute continuity
• Malliavin calculus
• subordinated Brownian motions

We consider a real-valued doubly-perturbed stochastic differential equation driven by a subordinated Brownian motion. By using classic Malliavin calculus, we prove that the law of the solution is absolutely continuous with respect to the Lebesgue measure on a"e.

• 出版日期2018-2
• 单位南京大学