Density estimates for jump diffusion processes

作者：

Highlights：

• Density estimates for a jump diffusion process.

• Jump amplitudes follow a Gaussian or Laplace distribution.

• Convolution of densities formula for jump diffusions with jumps.

摘要

•Density estimates for a jump diffusion process.•Jump amplitudes follow a Gaussian or Laplace distribution.•Convolution of densities formula for jump diffusions with jumps.

论文关键词：Density estimates,Jump diffusion process,Malliavin calculus

论文评审过程：Received 3 May 2021, Revised 28 August 2021, Accepted 15 November 2021, Available online 23 November 2021, Version of Record 29 January 2022.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126814