Semigroup properties of solutions of SDEs driven by Lévy processes with independent coordinates

DOI10.1016/J.SPA.2020.07.011MaRDI QIDQ2229684zbMATH OpenOpenAlexFDO

Authors Michał Ryznar, T. Kulczycki

Publication date 18 February 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.07173

zbMATH Keywords

Borel functionLipschitz continuous

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Abstract: We study the stochastic differential equation $d{X}_t=A(X_{t-}),d{Z}_t$, $X_0=x$, where $Z_t=(Z_t^{(1)},ldots,Z_t^{(d)}{)}^T$ and $Z_t^{(1)},ldots,Z_t^{(d)}$ are independent one-dimensional L{'e}vy processes with characteristic exponents $ps{i}_1,ldots,ps{i}_d$. We assume that each $ps{i}_i$ satisfies a weak lower scaling condition WLSC($alpha,0,underlineC$), a weak upper scaling condition WUSC($$) (where $$) and some additional regularity properties. We consider two mutually exclusive assumptions: either (i) all $ps{i}_1,ldots,ps{i}_d$ are the same and $$ are arbitrary, or (ii) not all $ps{i}_1,ldots,ps{i}_d$ are the same and $$. We also assume that the determinant of $A(x)=(a_{ij}(x))$ is bounded away from zero, and $a_{ij}(x)$ are bounded and Lipschitz continuous. In both cases (i) and (ii) we prove that for any fixed $gammain(0,alpha)cap(0,1]$ the semigroup $P_t$ of the process $X$ satisfies $|P_{t}f(x)-P_{t}f(y)|lec{t}^{-gamma/alpha}|x-y{|}^{gamma}||f|{|}_{i}nfty$ for arbitrary bounded Borel function $f$. We also show the existence of a transition density of the process $X$.

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