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

Abstract

In this paper we consider a class of stochastic differential equations driven by subordinate Brownian motion with Markovian switching. We use Malliavin calculus to study the smoothness of the density for the solution under uniform Hörmander's type condition.

17 pages. arXiv admin note: text overlap with arXiv:1409.3927. We consider the SDE with Markovian switching, which repaces the SDE with state-dependent switching

References in corpus (1)

• Smoothness of density for stochastic differential equations with Markovian switching