Smooth densities for SDEs driven by subordinated Brownian motion with   Markovian switching
  In this paper we consider a class of stochastic differential equations driven by subordinate Brownian motion with Markovian switching. We use Malliavin calculus to study the smoothness of the density for the solution under uniform H\"ormander's type condition. 
Xiaobin Sun and Yingchao Xie
math.PR