Densities for SDEs driven by degenerate -stable processes

DOI10.1214/13-AOP900MaRDI QIDQ465466zbMATH OpenOpenAlexFDO

Authors Xicheng Zhang

Publication date 31 October 2014

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

Full work available at URL https://arxiv.org/abs/1207.3565, https://projecteuclid.org/euclid.aop/1409319469

zbMATH Keywords

\(\alpha\)-stable processdistributional densityHörmander's conditionMalliavin calculusstochastic differential equations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this work, by using the Malliavin calculus, under H"ormander's condition, we prove the existence of distributional densities for the solutions of stochastic differential equations driven by degenerate subordinated Brownian motions. Moreover, in a special degenerate case, we also obtain the smoothness of the density. In particular, we obtain the existence of smooth heat kernels for the following fractional kinetic Fokker-Planck (nonlocal) operator: [mathscr{L}^{(alpha)}_b:=Delta^{alpha/2}_{mathrm{v}}+mathrm {v}cdot

abla_x+b(x,mathrm{v})cdot

abla_{mathrm{v}},qquad x,mathrm{v}inmathbb{R}^d,] where $alphain(0,2)$ and $b:mathbb{R}^{d}imesmathbb{R}^{d}omathbb{R}^d$ is smooth and has bounded derivatives of all orders.

Review text

In this paper, the author proves the existence of distributional densities for the solutions of SDEs driven by degenerate subordinated Brownian motions, using the Malliavin calculus on Wiener-Poisson spaces.

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Cited in

(29)

• Singular integrals of stable subordinator
• Density functions of doubly-perturbed stochastic differential equations with jumps
• Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
• Regularity of the law of stochastic differential equations with jumps under Hörmander's conditions: the lent particle method
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• Characterization of density processes of deformed stochastic bases of the first kind
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• Stability of Densities for Perturbed Degenerate Diffusions
• Hypoellipticity and parabolic hypoellipticity of nonlocal operators under Hörmander's condition
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