On weak solution of SDE driven by inhomogeneous singular Lévy noise

DOI10.1090/TRAN/8612MaRDI QIDQ5082369zbMATH OpenOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/2104.08129

zbMATH Keywords

strong Feller propertysingular Lévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-differential operators (47G20)

Abstract: We study a time-inhomogeneous SDE in $R^d$ 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 $L^{i}nfty(dx)otimes{L}^1(dy)$ and $L^{i}nfty(dx)otimes{L}^{i}nfty(dy)$-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.

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Cited in

(12)

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• SPDE limit of weakly inhomogeneous ASEP
• Drift reduction method for SDEs driven by heterogeneous singular Lévy noise
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• Weak Approximations for SDE’s Driven by Lévy Processes
• Singular SDEs with critical non-local and non-symmetric Lévy type generator
• Feller generators with measurable lower order terms

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