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  • Search: subject:"Jump diffusions Malliavin calculus Semimartingales"
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Cass, Thomas 1
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Stochastic Processes and their Applications 1
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Smooth densities for solutions to stochastic differential equations with jumps
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...
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