Irregular Stochastic differential equations driven by a family of Markov processes

Publication date 23 October 2016

Abstract: Using heat kernel estimates, we prove the pathwise uniqueness for strong solutions of irregular stochastic differential equation driven by a family of Markov process, whose generator is a non-local and non-symmetric L'evy type operator. Due to the extra term

1_{[0, s i g m a (X_{s -}, z)]} (r)

in multiplicative noise, we need to derive some new regularity results for the generator and use a trick of mixing

L_{1}

and

L_{2}

-estimates by Kurtz and Protter cite{Ku-Po}.

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