Smoothness of density for stochastic differential equations with Markovian switching

arxiv: 1409.3927 · v2 · pith:PJU2KJEInew · submitted 2014-09-13 · 🧮 math.PR

Smoothness of density for stochastic differential equations with Markovian switching

Yaozhong Hu , David Nualart , Xiaobin Sun , Yingchao Xie This is my paper

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keywords densitydifferentialequationsmarkoviansmoothnessstochasticswitchingtype

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This paper is concerned with a class of stochastic differential equations with Markovian switching. The Malliavin calculus is used to study the smoothness of the density of the solution under a H\"{o}rmander type condition. Furthermore, we obtain a Bismut type formula which is used to establish the strong Feller property.

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Smoothness of density for stochastic differential equations with Markovian switching

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