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Abstract
An integration by parts formula for functions of jump process is established which follows from an ordinary integration by parts in the state space of the jump measure. The analog of the Malliavin matrix is defined; if the inverse of this matrix belongs to all Lp(Ω),≥ 1, the jump process has a smooth density
*Partially supported by the Natural Sciences and Engineering Research of Canada under grant A-7964 and the Air Force Office of Scientific Research, United States Air Force, under grant AFOSR-86-0332
†Research partially supported by the Natural Sciences and Engineering Research Council of Canada under grant A-7964
†Research partially supported by the Natural Sciences and Engineering Research Council of Canada under grant A-7964
*Partially supported by the Natural Sciences and Engineering Research of Canada under grant A-7964 and the Air Force Office of Scientific Research, United States Air Force, under grant AFOSR-86-0332
†Research partially supported by the Natural Sciences and Engineering Research Council of Canada under grant A-7964
†Research partially supported by the Natural Sciences and Engineering Research Council of Canada under grant A-7964
Notes
*Partially supported by the Natural Sciences and Engineering Research of Canada under grant A-7964 and the Air Force Office of Scientific Research, United States Air Force, under grant AFOSR-86-0332
†Research partially supported by the Natural Sciences and Engineering Research Council of Canada under grant A-7964
†Research partially supported by the Natural Sciences and Engineering Research Council of Canada under grant A-7964