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

DOI10.1214/16-AIHP796zbMATH Open1391.60191arXiv1412.8732OpenAlexW2962867243MaRDI QIDQ1635962FDOQ1635962

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)

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..

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

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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)

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