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arXiv · 0911.3017

Integration by parts formula and applications to equations with jumps

Emmanuelle Clement·Vlad Bally
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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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Emmanuelle Clement, Vlad Bally. 2009-11-16. Integration by parts formula and applications to equations with jumps. https://arxiv.org/abs/0911.3017

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