SMOOTHNESS OF DENSITY FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH MARKOVIAN SWITCHING

被引：3
|
作者：
Hu, Yaozhong [1 ]
Nualart, David [2 ]
Sun, Xiaobin [3 ]
Xie, Yingchao [3 ]
机构：
[1] Univ Alberta, Dept Math & Stat Sci, Edmonton, AB T6G 2G1, Canada
[2] Univ Kansas, Dept Math, Lawrence, KS 66045 USA
[3] Jiangsu Normal Univ, Sch Math & Stat, Xuzhou 221116, Jiangsu, Peoples R China
来源：
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2019年 / 24卷 / 08期
关键词：
Malliavin calculus; Markovian switching; smoothness of density; Bismut formula; strong Feller property; STABILITY;
D O I：
10.3934/dcdsb.2018307
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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 Hormander type condition. Furthermore, we obtain a Bismut type formula which is used to establish the strong Feller property.
引用
收藏
页码：3615 / 3631
页数：17
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