Using moment approximations to study the density of jump driven SDEs-Reference-Cited by-同舟云学术

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Using moment approximations to study the density of jump driven SDEs

Published:2022-01-01 Issue:none Volume:27 Page:
ISSN:1083-6489
Container-title:Electronic Journal of Probability
language:
Short-container-title:Electron. J. Probab.

Author:

Bally Vlad¹,Caramellino Lucia²,Kohatsu-Higa Arturo³

Affiliation:

1. Université Gustave Eiffel- UFR Mathématiques. France

2. Dipartimento di Matematica, Universitá di Roma-Tor Vergata, Via della Ricerca Scientifica 1, I-00133, Roma, Italy

3. Department of Mathematical Sciences Ritsumeikan University 1-1-1 Nojihigashi, Kusatsu, Shiga, 525-8577, Japan

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference31 articles.

1. D. Applebaum. Lévy processes. Cambridge Studies in Advanced Mathematics. Cambridge University Press, 2 edition, 2009.

2. S. Asmussen and J. Rosiński. Approximations of small jumps of Lévy processes with a view towards simulation. J. Appl. Probab., 38(2):482–493, 2001.

3. V. Bally. Upper bounds for the function solution of the homogeneous $2d$ Boltzmann equation with hard potential. Ann. Appl. Probab., 29(3):1929–1961, 2019.

4. V. Bally and L. Caramellino. Stochastic Integration by Parts and Functional Itô Calculus. Advanced Courses in Mathematics - CRM Barcelona. Springer International Publishing, 2016.

5. V. Bally and L. Caramellino. Convergence and regularity of probability laws by using an interpolation method. Ann. Probab., 45(2):1110–1159, 03 2017.

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps;Journal of Mathematical Analysis and Applications;2024-03

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