Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise

DOI10.1214/16-AIHP796zbMath1391.60191arXiv1412.8732OpenAlexW2962867243MaRDI QIDQ1635962

Viktoria P. Knopova, Alexei M. Kulik

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.8732

zbMATH Keywords

martingale problempseudo-differential operatortransition probability densitySDEgenerator of a Markov processLevi's parametrix method

Mathematics Subject Classification ID

Pseudodifferential operators as generalizations of partial differential operators (35S05) Transition functions, generators and resolvents (60J35) Pseudodifferential operators (47G30) Initial value problems for PDEs with pseudodifferential operators (35S10)

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