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Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with lévy noise

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Ukrainian Mathematical Journal Aims and scope

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.

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Authors and Affiliations

  1. Shevchenko Kiev National University, Kiev, Ukraine

    S.V. Bodnarchuk

  2. Institute of Mathematics, Ukrainian National Academy of Sciences, Kiev, Ukraine

    A. M. Kulik

Authors
  1. S.V. Bodnarchuk
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  2. A. M. Kulik
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 63, No. 4, pp. 435–447, April, 2011.

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Bodnarchuk, S., Kulik, A.M. Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with lévy noise. Ukr Math J 63, 501–515 (2011). https://doi.org/10.1007/s11253-011-0519-7

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  • DOI: https://doi.org/10.1007/s11253-011-0519-7

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