Abstract
We establish an integration by parts formula in an abstract framework in order to study the regularity of the law for processes arising as the solution of stochastic differential equations with jumps, including equations with discontinuous coefficients for which the Malliavin calculus developed by Bichteler et al. (Stochastics Monographs, vol 2. Gordon & Breach, New York, 1987) and Bismut (Z Wahrsch Verw Gebiete 63(2):147–235, 1983) fails.
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Bally, V., Clément, E. Integration by parts formula and applications to equations with jumps. Probab. Theory Relat. Fields 151, 613–657 (2011). https://doi.org/10.1007/s00440-010-0310-y
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DOI: https://doi.org/10.1007/s00440-010-0310-y