Drift reduction method for SDEs driven by inhomogeneous singular L{\'e}vy noise

arXiv2208.06595MaRDI QIDQ6407769FDOQ6407769

Authors: T. Kulczycki, Oleksii Kulyk, Michał Ryznar 

Publication date: 13 August 2022

Abstract: We study SDE ${\displaystyle }$ d X_t = b(X_t) , dt + A(X_{t-}) , d Z_t, quad X_{0} = x in mathbb{R}^d, quad t geq 0 ${\displaystyle }$ where $Z=(Z^1,dots,Z^d{)}^T$, with $Z^i,i=1,dots,d$ being independent one-dimensional symmetric jump L'evy processes, not necessarily identically distributed. In particular, we cover the case when each $Z^i$ is one-dimensional symmetric $alph{a}_i$-stable process ($alph{a}_{i}in(0,2)$ and they are not necessarily equal). Under certain assumptions on $b$, $A$ and $Z$ we show that the weak solution to the SDE is uniquely defined and Markov, we provide a representation of the transition probability density and we establish H{"o}lder regularity of the corresponding transition semigroup. The method we propose is based on a reduction of an SDE with a drift term to another SDE without such a term but with coefficients depending on time variable. Such a method have the same spirit with the classic characteristic method and seems to be of independent interest.

This page was built for publication: Drift reduction method for SDEs driven by inhomogeneous singular L{\'e}vy noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6407769)