关于Poisson泛函光滑密度的估计(英文)  

On the Estimation of Smooth Densities for Poisson Functionals

作　　者：谢颖超[1] 

机构地区：[1]徐州师范大学数学系,徐州221116

出　　处：《应用概率统计》2006年第1期89-101,共13页Chinese Journal of Applied Probability and Statistics

基　　金：Research supported by the National Science Foundation of China(10471120)the Natural Science Foundation of Xuzhou Normal University(04XLA15).

摘　　要：本文利用Malliavin分析的方法研究了关于Poisson随机测度的随机微分方程解的密度的存在性,并在非退化的条件下给出了解密度的光滑性及其估计．In this paper, we use Malliavin calculus to show that the laws of Poisson functionals and the solution of stochastic differential equation driven a compensated Poisson measure admit smooth densities and to give estimations for these densities under some non-degeneracy assumptions.

关 键 词：光滑密度的估计 Malliavin分析 Poisson泛函 带跳的随机微分方程 

分 类 号：O211.63[理学—概率论与数理统计]