On the absolute continuity of Lévy processes with drift (Q2497170)

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On the absolute continuity of Lévy processes with drift
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    On the absolute continuity of Lévy processes with drift (English)
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    3 August 2006
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    Let \(Z\) be a real one-dimensional pure-jump Lévy process with jumping measure \(\nu\). Let \(X\) be a solution of the SDE \(X_t=x+\int_0^t a(X_s)\, ds+Z_t\), where \(a\) is a real \(C^1\) function with bounded derivative. The authors prove that, if \(a\) is monotonous at \(x\), then \(X_t\ll \lambda\) for every \(t>0 \Leftrightarrow X_1\ll \lambda \Leftrightarrow \nu\) is infinite, \(\lambda\) being the Lebesgue measure. Furthermore, without any assumptions on \(a\), the following implication holds for every \(t>0: X_t\ll \lambda \Rightarrow Z_t\ll \lambda\). These results are extended to solutions of Marcus equations.
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    jump process
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    jump diffusion
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    Marcus equation
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