Heat kernel of supercritical SDEs with unbounded drifts
Analysis of PDEs
2022-02-08 v2 Probability
Abstract
Let and . Consider the following SDE in :where is a -dimensional rotationally invariant -stable process, and are H{\"o}lder continuous functions in space, with respective order such that , uniformly in . Here may be unbounded.When is bounded and uniformly elliptic, we show that the unique solution 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 .Our proof is based on ad hoc parametrix expansions and probabilistic techniques.
Keywords
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}
}