Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with lévy noise
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We obtain a sufficient condition of smoothness for the distribution density of a multidimensional Ornstein–Uhlenbeck process with Lévy noise, i.e., for the solution of a linear stochastic differential equation with Lévy noise.
KeywordsDistribution Density Quadratic Form Stochastic Differential Equation Uhlenbeck Process Stochastic Differential Equa
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