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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Bibliographic Details

Published in:	Modern Stochastics: Theory and Applications Vol. 11; no. 3; pp. 303 - 321
Main Authors:	Nakagawa, Takuya, Suzuki, Ryoichi
Format:	Journal Article
Language:	English
Published:	VTeX 2024
Subjects:	density functions Lévy processes Malliavin calculus Running maximum Stochastic differential equations
ISSN:	2351-6046, 2351-6054
Online Access:	Get full text
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