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arXiv · 1401.4624

Regularity of density for SDEs driven by degenerate Lévy noises

Yulin Song·Xicheng Zhang
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Abstract

By using Bismut's approach about the Malliavin calculus with jumps, we study the regularity of the distributional density for SDEs driven by degenerate additive Lévy noises. Under full Hörmander's conditions, we prove the existence of distributional density and the weak continuity in the first variable of the distributional density. Under the uniform first order Lie's bracket condition, we also prove the smoothness of the density.

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Yulin Song, Xicheng Zhang. 2014-01-19. Regularity of density for SDEs driven by degenerate Lévy noises. https://arxiv.org/abs/1401.4624

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