A stochastic differential equation model with jumps for fractional advection and dispersion (Q841148)

The paper addresses an existence issue of solutions to stochastic differential equations driven by pure jump Levy processes, and in particular stable processes. A construction aims at deriving explicit forms of infinitesimal generators for associated fractional (pseudodifferential) forward and backward equations, so that Markovian transition probability densities may be uniquely defined. These goals are accomplished in extended appendices. The reader must be warned that the Author somewhat voluntarily uses the term ``diffusion process'' that is clearly inadequate in the framework considered. The driving noise is of the jump-type and sample paths of the process are almost nowhere continuous. The stochastic differential equation (2.1) of the paper is named a diffusion equation. The title of section 3 involves ``diffusion driven by the alpha-stable Levy noise'' whose trajectories, by construction, are of the jumping type. Links with anomalous diffusion models have no deeper foundations in the present work.