English

Heat kernel of supercritical SDEs with unbounded drifts

Analysis of PDEs 2022-02-08 v2 Probability

Abstract

Let α(0,2)\alpha\in(0,2) and dNd\in{\mathbb N}. Consider the following SDE in Rd{\mathbb R}^d:dXt=b(t,Xt)dt+a(t,Xt)dLt(α),  X0=x,{\rm d}X_t=b(t,X_t){\rm d} t+a(t,X_{t-}){\rm d} L^{(\alpha)}_t,\ \ X_0=x,where L(α)L^{(\alpha)} is a dd-dimensional rotationally invariant α\alpha-stable process, b:R+×RdRdb:{\mathbb R}_+\times{\mathbb R}^d\to{\mathbb R}^d and a:R+×RdRdRda:{\mathbb R}_+\times{\mathbb R}^d\to{\mathbb R}^d\otimes{\mathbb R}^d are H{\"o}lder continuous functions in space, with respective order β,γ(0,1)\beta,\gamma\in (0,1) such that (βγ)+α>1(\beta\wedge \gamma)+\alpha>1, uniformly in tt. Here bb may be unbounded.When aa is bounded and uniformly elliptic, we show that the unique solution Xt(x)X_t(x) of the above SDE admits a continuous density, which enjoys sharp two-sided estimates. We also establish sharp upper-bound for the logarithmic derivative. In particular, we cover the whole supercritical range α(0,1)\alpha\in (0,1) .Our proof is based on ad hoc parametrix expansions and probabilistic techniques.

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Cite

@article{arxiv.2012.14775,
  title  = {Heat kernel of supercritical SDEs with unbounded drifts},
  author = {Stéphane Menozzi and Zhang Xicheng},
  journal= {arXiv preprint arXiv:2012.14775},
  year   = {2022}
}