On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes

DOI10.1007/S00440-010-0296-5zbMATH Open1238.60067arXiv0908.3736OpenAlexW2088573233MaRDI QIDQ644787FDOQ644787

Authors: Thomas Simon 

Publication date: 7 November 2011

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Let $X$ be a $n$-dimensional Ornstein-Uhlenbeck process, solution of the S.D.E. ${\displaystyle }$d X_t = AX_t d t + d B_t${\displaystyle }$ where $A$ is a real $nimesn$ matrix and $B$ a L'evy process without Gaussian part. We show that when $A$ is non-singular, the law of $X_1$ is absolutely continuous in ${}^n$ if and only if the jumping measure of $B$ fulfils a certain geometric condition with respect to $A,$ which we call the exhaustion property. This optimal criterion is much weaker than for the background driving L'evy process $B$, which might be very singular and sometimes even have a one-dimensional discrete jumping measure. It also solves a difficult problem for a certain class of multivariate Non-Gaussian infinitely divisible distributions.

Full work available at URL: https://arxiv.org/abs/0908.3736

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zbMATH Keywords

controllabilityabsolute continuitymultivariate Poisson measureOrnstein-Uhlenbeck process with jumps

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuity and singularity of induced measures (60G30)

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Cited In (17)

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• Absolute continuity conditions for multivariate infinitely divisible distributions and their applications
• On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
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• Conditions for the existence and smoothness of the distribution density of the Ornstein-Uhlenbeck process with Lévy noise
• Absolute continuity of distributions of one-dimensional Lévy processes

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