On stochastic equations with measurable coefficients driven by symmetric stable processes (Q413923): Difference between revisions
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Summary: We consider a one-dimensional stochastic equation \[ dX_t = b(t, X_{t-})dZ_t + a(t, X_t)dt,\;t \geq 0, \] with respect to a symmetric stable process \(Z\) of index \(0 < \alpha \leq 2\). It is shown that solving this equation is equivalent to solving of a two-dimensional stochastic equation \[ dL_t = B(L_{t-})dWt \] with respect to the semimartingale \(W = (Z, t)\) and the corresponding matrix \(B\). In the case of \(1 \leq \alpha < 2\), we provide new sufficient conditions for the existence of solutions of both equations with measurable coefficients. Existence proofs are established using the method of Krylov's estimates for processes satisfying the two-dimensional equation. Also, the Krylov estimates are based on some analytical facts of independent interest that are also proved. | |||
Property / review text: Summary: We consider a one-dimensional stochastic equation \[ dX_t = b(t, X_{t-})dZ_t + a(t, X_t)dt,\;t \geq 0, \] with respect to a symmetric stable process \(Z\) of index \(0 < \alpha \leq 2\). It is shown that solving this equation is equivalent to solving of a two-dimensional stochastic equation \[ dL_t = B(L_{t-})dWt \] with respect to the semimartingale \(W = (Z, t)\) and the corresponding matrix \(B\). In the case of \(1 \leq \alpha < 2\), we provide new sufficient conditions for the existence of solutions of both equations with measurable coefficients. Existence proofs are established using the method of Krylov's estimates for processes satisfying the two-dimensional equation. Also, the Krylov estimates are based on some analytical facts of independent interest that are also proved. / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 60G52 / rank | |||
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Property / zbMATH DE Number: 6031633 / rank | |||
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Krylov's estimates | |||
Property / zbMATH Keywords: Krylov's estimates / rank | |||
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existence of solutions | |||
Property / zbMATH Keywords: existence of solutions / rank | |||
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Revision as of 20:11, 29 June 2023
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English | On stochastic equations with measurable coefficients driven by symmetric stable processes |
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On stochastic equations with measurable coefficients driven by symmetric stable processes (English)
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8 May 2012
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Summary: We consider a one-dimensional stochastic equation \[ dX_t = b(t, X_{t-})dZ_t + a(t, X_t)dt,\;t \geq 0, \] with respect to a symmetric stable process \(Z\) of index \(0 < \alpha \leq 2\). It is shown that solving this equation is equivalent to solving of a two-dimensional stochastic equation \[ dL_t = B(L_{t-})dWt \] with respect to the semimartingale \(W = (Z, t)\) and the corresponding matrix \(B\). In the case of \(1 \leq \alpha < 2\), we provide new sufficient conditions for the existence of solutions of both equations with measurable coefficients. Existence proofs are established using the method of Krylov's estimates for processes satisfying the two-dimensional equation. Also, the Krylov estimates are based on some analytical facts of independent interest that are also proved.
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Krylov's estimates
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existence of solutions
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