On equivalent martingale measures with bounded densities
On logarithmic Sobolev inequalities for normal martingales
On smoothing properties of transition semigroups associated to a class of SDEs with jumps
We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) in driven by additive pure-jump Lévy noise. In particular, we assume that the Lévy process driving the SDE is the sum of a subordinated Wiener process (i.e. , where is an increasing pure-jump Lévy process starting at zero and independent of the Wiener process ) and of an arbitrary Lévy process independent of , that the drift coefficient is continuous (but not...
On the approximate solutions of the Stratonovitch equation.
On the density for the solution of a Burgers-type SPDE
On the density of some Wiener functionals: an application of Malliavin calculus.
Using a representation as an infinite linear combination of chi-square independent random variables, it is shown that some Wiener functionals, appearing in empirical characteristic process asymptotic theory, have densities which are tempered in the properly infinite case and exponentially decaying in the finite case.
On the quadratic Wiener functional associated with the Malliavin derivative of the square norm of Brownian sample path on interval.