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

DOI10.1214/16-AIHP796MaRDI QIDQ1635962zbMATH OpenOpenAlexFDO

Authors V. Knopova, A. 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

pseudo-differential operatormartingale problemtransition probability densitySDEgenerator of a Markov processLevi's parametrix method

Mathematics Subject Classification ID

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

Abstract: Let $L:=-a(x)(-Delta{)}^{alpha/2}+(b(x),abla)$, where $alphain(0,2)$, and $a:do(0,infty)$, $b:dod$. Under certain regularity assumptions on the coefficients $a$ and $b$, we associate with the $C_{i}nfty(d)$-closure of $(L,C_{i}nft{y}^2(d))$ a Feller Markov process $X$, which possesses a transition probability density $p_t(x,y)$. To construct this transition probability density and to obtain the two-sided estimates on it, we develop a new version of the parametrix method, which allows us to handle the case $0<alphaleq1$ and $beq0$, i.e. when the gradient part of the generator is not dominated by the jump part..

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