On smoothing properties of transition semigroups associated to a class of SDEs with jumps

DOI10.1214/13-AIHP559zbMATH Open1319.60127arXiv1208.2860OpenAlexW1988329967MaRDI QIDQ479716FDOQ479716

Authors: Seiichiro Kusuoka, Carlo Marinelli 

Publication date: 5 December 2014

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) driven by additive pure-jump L'evy noise. In particular, we assume that the L'evy process driving the SDE is the sum of a subordinated Wiener process and of an independent arbitrary L'evy process, that the drift coefficient is continuous (but not necessarily Lipschitz continuous) and grows not faster than a polynomial, and that the SDE admits a Feller weak solution. By a combination of probabilistic and analytic methods, we provide sufficient conditions for the Markovian semigroup associated to the SDE to be strong Feller and to map $L_p$ to continuous bounded functions. A key intermediate step is the study of regularizing properties of the transition semigroup associated to the subordinated Wiener process in terms of negative moments of the subordinator.

Full work available at URL: https://arxiv.org/abs/1208.2860

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zbMATH Keywords

Malliavin calculusstochastic differential equationssubordinationtransition semigroupsnon-local operatorspure-jump Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Markov semigroups and applications to diffusion processes (47D07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35) Continuity and singularity of induced measures (60G30)

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Cited In (11)

• On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators
• Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues
• A variational approach to dissipative SPDEs with singular drift
• Strong Feller properties for degenerate SDEs with jumps
• Semigroup properties of solutions of SDEs driven by Lévy processes with independent coordinates
• Strong Feller property for SDEs driven by multiplicative cylindrical stable noise
• Smoothing properties of transition semigroups relative to SDEs with values in Banach spaces
• Smooth properties for semigroups of Lévy processes and their application
• On some smoothening effects of the transition semigroup of a Lévy process
• A class of Lévy driven SDEs and their explicit invariant measures
• Density estimates for jump diffusion processes

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