A parametrix approach for some degenerate stable driven SDEs

DOI10.1214/15-AIHP704zbMATH Open1355.60076arXiv1402.3997MaRDI QIDQ503098FDOQ503098

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)

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.

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

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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)

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• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
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• On multidimensional stable-driven stochastic differential equations with Besov drift
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• Parametrix methods for one-dimensional reflected SDEs
• Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators
• Weak well-posedness of multidimensional stable driven SDEs in the critical case
• On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise

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