Existence of density function for the running maximum of SDEs driven by nontruncated pure-jump Lévy processes

The existence of density function of the running maximum of a stochastic differential equation (SDE) driven by a Brownian motion and a nontruncated pure-jump process is verified. This is proved by the existence of density function of the running maximum of the Wiener–Poisson functionals resulting fr...

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Vydané v:	Modern Stochastics: Theory and Applications Ročník 11; číslo 3; s. 303 - 321
Hlavní autori:	Nakagawa, Takuya, Suzuki, Ryoichi
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	VTeX 2024
Predmet:	density functions Lévy processes Malliavin calculus Running maximum Stochastic differential equations
ISSN:	2351-6046, 2351-6054
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