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

DOI10.1016/J.SPA.2020.07.011zbMATH Open1454.60079arXiv1906.07173OpenAlexW3044328798MaRDI QIDQ2229684FDOQ2229684

Authors: Michał Ryznar, T. Kulczycki 

Publication date: 18 February 2021

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

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 $X$.

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

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zbMATH Keywords

Borel functionLipschitz continuous

Mathematics Subject Classification ID

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

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Cited In (18)

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