Smoothness of density for stochastic differential equations with Markovian switching

Abstract

This paper is concerned with a class of stochastic differential equations with Markovian switching. The Malliavin calculus is used to study the smoothness of the density of the solution under a Hörmander type condition. Furthermore, we obtain a Bismut type formula which is used to establish the strong Feller property.

17 pages

Cited by in corpus (1)

• Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching