On solutions of equations with measurable coefficients driven by - stable processes

DOI10.1080/17442508.2019.1687704MaRDI QIDQ5086525zbMATH OpenOpenAlexFDO

Authors V. P. Kurenok

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.08182

zbMATH Keywords

Fourier transformKrylov type estimatesstochastic differential equationssymmetric stable processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: We prove the existence of solutions for the stochastic differential equation $d{X}_t=b(t,X_{t-})d{Z}_t+a(t,X_t)dt,X_{0}inR,tge0,$ with only measurable coefficients $a$ and $b$ satisfying the condition $0<mule|b(t,x)|leu$ and $|a(t,x)|leK$ for all $tge0,xinR$ where $mu,u,$ and $K$ are some constants. The driving process $Z$ is a symmetric stable process of index $1<alpha<2$. This generalizes the result of N. V. Krylov cite{Krylov} for the case of $alpha=2$, that is when $Z$ is a Brownian motion. The proof is based on integral estimates of Krylov type for the given equation which are also derived in the note and are of independent interest. Moreover, unlike in cite{Krylov}, we use a different approach to derive the corresponding integral estimates.

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Cited in

(10)

• On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion
• On stochastic differential equations driven by a Cauchy process and other stable Lévy motions
• \(L^{\alpha -1}\) distance between two one-dimensional stochastic differential equations driven by a symmetric \(\alpha \)-stable process
• Approximation and stability of solutions of SDEs driven by a symmetric \(\alpha\) stable process with non-Lipschitz coefficients
• The time change method and SDEs with nonnegative drift
• On stochastic equations with measurable coefficients driven by symmetric stable processes
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• A note on 𝐿₂-estimates for stable integrals with drift
• Systems of equations driven by stable processes

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