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On the existence of smooth densities for jump processes
2 references·16 citing·32 second hop
On the existence of smooth densities for jump processes (1996)On the existence of smooth densities for …Malliavin calculus for processes with jumps (1991)Malliavin calculus for proces…Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic calculus of variat…Estimates of transition densities and their derivatives for jump Lévy processes (2015)Estimates of transition densi…Existence of densities for stable-like driven SDEʼs with Hölder continuous coefficients (2013)Existence of densities for st…PATHWISE UNIQUENESS FOR SINGULAR SDEs DRIVEN BY STABLE PROCESSES (2012)PATHWISE UNIQUENESS FOR SINGU…On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (2010)On Malliavin’s differentiabil…Jump-adapted discretization schemes for Lévy-driven SDEs (2010)Jump-adapted discretization s…Absolute continuity for some one-dimensional processes (2010)Absolute continuity for some …Densities for Ornstein-Uhlenbeck processes with jumps (2008)Densities for Ornstein-Uhlenb…Absolute continuity for some one-dimensional processes (2008)Absolute continuity for some …Optimal portfolio for an insider in a market driven by Lévy processes§ (2006)Optimal portfolio for an insi…Multivariate CARMA processes (2006)Multivariate CARMA processesMalliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)Malliavin calculus on the Wie…Canonical Lévy process and Malliavin calculus (2006)Canonical Lévy process and Ma…MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES (2005)MALLIAVIN CALCULUS AND ANTICI…On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004)On multidimensional Ornstein-…Martingale Representation of Functionals of Lévy Processes (2004)Martingale Representation of …White noise analysis for Lévy processes (2003)White noise analysis for Lévy…The Malliavin Calculus and Related Topics (1995)Lévy Processes and Stochastic Calculus (2004)The Malliavin Calculus and Related Topics (2006)Malliavin Calculus in Lévy spaces and Applications to Finance. (2008)Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability (2017)Stochastic Integration and Differential Equations (2005)Stochastic Flows and Stochastic Differential Equations (1998)Credit Risk Models with Incomplete Information (2009)Processes of normal inverse Gaussian type (1997)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2008)Ornstein–Uhlenbeck Processes and Extensions (2009)Stochastic Differential Equations and Diffusion Processes (1983)Financial Modelling with Jump Processes (2003)Estimation for Non-Negative Lévy-Driven CARMA Processes (2010)Multivariate supOU processes (2010)Recent results in the theory and applications of CARMA processes (2014)Limit Theorems for Stochastic Processes (2003)MINIMAL VARIANCE HEDGING FOR INSIDER TRADING (2006)Electricity Derivatives Pricing with Forward-Looking Information (2013)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Stochastic differential equations with Sobolev drifts and driven by $\alpha$-stable processes (2013)Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift (2013)Strong rate of convergence for the Euler–Maruyama approximation of SDEs with Hölder continuous drift coefficient (2016)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan (2007)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Malliavin Calculus and Optimal Control of Stochastic Volterra Equations (2015)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Stochastic calculus with anticipating integrands (1988)Functional Itô calculus and stochastic integral representation of martingales (2013)
this work references cited by second hop

References

  • 1978Stochastic calculus of variations and hypoelliptic operators524 cited
  • 1991Malliavin calculus for processes with jumps263 cited

Cited by

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  • 2003White noise analysis for Lévy processes107 cited
  • 2006Multivariate CARMA processes95 cited
  • 2006Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps90 cited
  • 2006Optimal portfolio for an insider in a market driven by Lévy processes§78 cited
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  • 2006Canonical Lévy process and Malliavin calculus76 cited
  • 2010On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures70 cited
  • 2008Absolute continuity for some one-dimensional processes67 cited
  • 2008Densities for Ornstein-Uhlenbeck processes with jumps62 cited
  • 2004Martingale Representation of Functionals of Lévy Processes62 cited
  • 2015Estimates of transition densities and their derivatives for jump Lévy processes

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61 cited
  • 2010Jump-adapted discretization schemes for Lévy-driven SDEs59 cited
  • 2010Absolute continuity for some one-dimensional processes58 cited
  • 2013Existence of densities for stable-like driven SDEʼs with Hölder continuous coefficients48 cited