Conditions for the existence and smoothness of the distribution density of the Ornstein–Uhlenbeck process with Lévy noise

DOI10.1090/S0094-9000-09-00778-9zbMath1224.60213arXiv0806.0442MaRDI QIDQ5391390

O. M. Kulyk, S. V. Bodnarchuk

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.0442

zbMATH Keywords

Ornstein-Uhlenbeck processLévy processlinear stochastic differential equationdistribution density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Distribution theory (60E99)

Related Items (11)

Fundamental solutions of nonlocal Hörmander's operators ⋮ Generalized couplings and ergodic rates for SPDEs and other Markov models ⋮ Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ Control of linear dynamical systems by time transformations ⋮ On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes ⋮ Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach ⋮ On distributions of exponential functionals of the processes with independent increments ⋮ Densities for SDEs driven by degenerate \(\alpha\)-stable processes ⋮ Continuity properties and the support of killed exponential functionals ⋮ On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes ⋮ Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with Lévy noise

This page was built for publication: Conditions for the existence and smoothness of the distribution density of the Ornstein–Uhlenbeck process with Lévy noise