Integration by parts formula and applications to equations with jumps

Abstract : We establish an integration by parts formula in an abstract framework in order to study the regularity of the law for processes solution of stochastic differential equations with jumps, including equations with discontinuous coefficients for which the Malliavin calculus developed by Bismut and Bichteler, Gravereaux and Jacod fails.
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Submitted on : Sunday, November 15, 2009 - 6:06:21 PM
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  • HAL Id : hal-00431632, version 1
  • ARXIV : 0911.3017

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Emmanuelle Clement, Vlad Bally. Integration by parts formula and applications to equations with jumps. Probability Theory and Related Fields, Springer Verlag, 2011, 151 (3-4), pp.613-657. ⟨hal-00431632⟩

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