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
相关论文
共 50 条
  • [41] An analytic approximation of solutions of stochastic differential delay equations with Markovian switching
    Bao, Jianhai
    Hou, Zhenting
    MATHEMATICAL AND COMPUTER MODELLING, 2009, 50 (9-10) : 1379 - 1384
  • [42] Stability analysis for impulsive stochastic delay differential equations with Markovian switching
    Li, Bing
    Li, Dingshi
    Xu, Daoyi
    JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 2013, 350 (07): : 1848 - 1864
  • [43] The stability with a general decay of stochastic delay differential equations with Markovian switching
    Zhang, Tian
    Chen, Huabin
    APPLIED MATHEMATICS AND COMPUTATION, 2019, 359 : 294 - 307
  • [44] Robust stability of a class of stochastic functional differential equations with Markovian switching
    Feng, Lichao
    Li, Shoumei
    Liu, Zhiyou
    Zheng, Shiqiu
    ADVANCES IN DIFFERENCE EQUATIONS, 2016,
  • [45] Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching
    Xu, Liping
    Li, Zhi
    Liu, Weiguo
    Zhou, Jie
    AIMS MATHEMATICS, 2021, 6 (03): : 2874 - 2885
  • [46] The pth moment boundedness of stochastic functional differential equations with Markovian switching
    Peng, Shiguo
    Yang, Liping
    JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 2017, 354 (01): : 345 - 359
  • [47] Numerical solutions of neutral stochastic functional differential equations with Markovian switching
    Hu, Yuru
    Chen, Huabin
    Yuan, Chenggui
    ADVANCES IN DIFFERENCE EQUATIONS, 2019, 2019 (1)
  • [48] Stability in distribution of neutral stochastic differential delay equations with Markovian switching
    Bao, Jianhai
    Hou, Zhenting
    Yuan, Chenggui
    STATISTICS & PROBABILITY LETTERS, 2009, 79 (15) : 1663 - 1673
  • [49] Comparison principle and stability criteria for stochastic differential delay equations with Markovian switching
    罗交晚
    邹捷中
    侯振挺
    Science China Mathematics, 2003, (01) : 129 - 138
  • [50] A New Stability Criterion for Neutral Stochastic Delay Differential Equations with Markovian Switching
    Hu, Wei
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2018, 2018
12345