Year: 2006
Type: article
Abstract: A new method is proposed to prove the absolute continuity of distributions of solutions of stochastic differential equations with jumps. The method is based on the differentiation in time in the space of functionals of the Poisson point measure. In contrast to the known Bismut and Picard methods, our approach can be applied to point measures with arbitrary Lévy measures. We obtain sufficient conditions for the absolute continuity of the solutions expressed in terms of the coefficients of the equation; the conditions do not involve assumptions on properties of the Lévy measure.
Author: A. M. Kulik
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1752266564