Abstract
In this note, by using Bismut’s approach to Malliavin calculus for jump processes, we obtain a criterion for the existence of density functions of the running maximum of Wiener-Poisson functionals. As an application, existence of density functions for the running maximum of a Levy-Ito diffusion is proved.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
