A parametrix approach for some degenerate stable driven SDEs

DOI10.1214/15-AIHP704MaRDI QIDQ503098zbMATH OpenFDO

Authors Lorick Huang, Stéphane Menozzi

Publication date 11 January 2017

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

Full work available at URL https://arxiv.org/abs/1402.3997

zbMATH Keywords

martingale problemparametrixstable driven stochastic differential equationsweak Hörmander condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Integro-partial differential equations (35R09) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52)

Abstract: We consider a stable driven degenerate stochastic differential equation, whose coefficients satisfy a kind of weak H{"o}rmander condition. Under mild smoothness assumptions we prove the uniqueness of the martingale problem for the associated generator under some dimension constraints. Also, when the driving noise is scalar and tempered, we establish density bounds reflecting the multi-scale behavior of the process.

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• Regularization effects of a noise propagating through a chain of differential equations: an almost sharp result
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• Strong regularization by Brownian noise propagating through a weak Hörmander structure
• Parametrix methods for one-dimensional reflected SDEs
• Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators
• On weak uniqueness and distributional properties of a solution to an SDE with -stable noise
• Weak well-posedness of multidimensional stable driven SDEs in the critical case

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