On weak solution of SDE driven by inhomogeneous singular Lévy noise
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Publication:5082369
DOI10.1090/TRAN/8612zbMATH Open1503.60068arXiv2104.08129OpenAlexW3155197505MaRDI QIDQ5082369FDOQ5082369
Authors: T. Kulczycki, A. M. Kulik, Michał Ryznar 
Publication date: 16 June 2022
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Abstract: We study a time-inhomogeneous SDE in driven by a cylindrical L'evy process with independent coordinates which may have different scaling properties. Such a structure of the driving noise makes it strongly spatially inhomogeneous and complicates the analysis of the model significantly. We prove that the weak solution to the SDE is uniquely defined, is Markov, and has the strong Feller property. The heat kernel of the process is presented as a combination of an explicit `principal part' and a `residual part', subject to certain and -estimates showing that this part is negligible in a short time, in a sense. The main tool of the construction is the analytic parametrix method, specially adapted to L'evy-type generators with strong spatial inhomogeneities.
Full work available at URL: https://arxiv.org/abs/2104.08129
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