On the absolute continuity of Lévy processes with drift

DOI10.1214/009117905000000620MaRDI QIDQ2497170zbMATH OpenOpenAlexFDO

Authors Ivan Nourdin, Thomas Simon

Publication date 3 August 2006

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0606783

zbMATH Keywords

jump diffusionjump processMarcus equation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider the problem of absolute continuity for the one-dimensional SDE [X_t=x+int_0^ta(X_s) ds+Z_t,] where $Z$ is a real L'{e}vy process without Brownian part and $a$ a function of class $mathcal{C}^1$ with bounded derivative. Using an elementary stratification method, we show that if the drift $a$ is monotonous at the initial point $x$, then $X_t$ is absolutely continuous for every $t>0$ if and only if $Z$ jumps infinitely often. This means that the drift term has a regularizing effect, since $Z_t$ itself may not have a density. We also prove that when $Z_t$ is absolutely continuous, then the same holds for $X_t$, in full generality on $a$ and at every fixed time $t$. These results are then extended to a larger class of elliptic jump processes, yielding an optimal criterion on the driving Poisson measure for their absolute continuity.

Review text

Let \(Z\) be a real one-dimensional pure-jump Lévy process with jumping measure \(\nu\). Let \(X\) be a solution of the SDE \(X_t=x+\int_0^t a(X_s)\, ds+Z_t\), where \(a\) is a real \(C^1\) function with bounded derivative. The authors prove that, if \(a\) is monotonous at \(x\), then \(X_t\ll \lambda\) for every \(t>0 \Leftrightarrow X_1\ll \lambda \Leftrightarrow \nu\) is infinite, \(\lambda\) being the Lebesgue measure. Furthermore, without any assumptions on \(a\), the following implication holds for every \(t>0: X_t\ll \lambda \Rightarrow Z_t\ll \lambda\). These results are extended to solutions of Marcus equations.

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Cited in

(22)

• Jumping SDEs: absolute continuity using monotonicity.
• Continuity properties and the support of killed exponential functionals
• On the integral modulus of continuity of infinitely divisible distributions, especially of stochastic integrals
• On parabolic inequalities for generators of diffusions with jumps
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