Cass, Thomas - In: Stochastic Processes and their Applications 119 (2009) 5, pp. 1416-1435
We consider a solution xt to a generic Markovian jump diffusion and show that for any t00 the law of xt0 has a C[infinity] density with respect to the Lebesgue measure under a uniform version of the Hörmander conditions. Unlike previous results in the area the result covers a class of infinite...