Singular SDEs with critical non-local and non-symmetric Lévy type generator

DOI10.1016/J.SPA.2017.03.014MaRDI QIDQ2409005zbMATH OpenOpenAlexFDO

Authors Longjie Xie

Publication date 10 October 2017

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

Full work available at URL https://arxiv.org/abs/1610.07698

zbMATH Keywords

fundamental solutionnon-local operatorpathwise uniquenesssingular SDEs

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this work, by using Levi's parametrix method we first construct the fundamental solution of the critical non-local operator perturbed by gradient. Then, we use the obtained estimates to prove the existence and uniqueness of strong solutions for stochastic differential equation driven by Markov process with irregular coefficients, whose generator is a non-local and non-symmetric L'evy type operator.

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Cited in

(5)

• Gradient estimates for the fundamental solution of Lévy type operator
• Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients
• Nonsymmetric Lévy-type operators
• Hölder estimates of mild solutions for nonlocal SPDEs
• Homogenization of non-symmetric jump processes

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