We consider the solution X=(X t) t≥ 0 of a multivariate stochastic differential equation with
Levy-type jumps and with unique invariant probability measure with density μ. We assume
that a continuous record of observations XT=(X t) 0≤ t≤ T is available. In the case without
jumps, Dalalyan and Reiss (2007) and Strauch (2018) have found convergence rates of
invariant density estimators, under respectively isotropic and anisotropic Hölder smoothness
constraints, which are considerably faster than those known from standard multivariate …