Nonlinear SDEs driven by L\'evy processes and related PDEs
Abstract
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz continuous and not necessarily linear in the time-marginals of the solution as is the case in the classical McKean-Vlasov model. We first study existence, uniqueness and particle approximations for these stochastic differential equations. When the driving process is a pure jump L\'evy process with a smooth but unbounded L\'evy measure, we develop a stochastic calculus of variations to prove that the time-marginals of the solutions are absolutely continuous with respect to the Lebesgue measure. In the case of a symmetric stable driving process, we deduce the existence of a function solution to a nonlinear integro-differential equation involving the fractional Laplacian.
Cite
@article{arxiv.0707.2723,
title = {Nonlinear SDEs driven by L\'evy processes and related PDEs},
author = {Benjamin Jourdain and Sylvie Méléard and Wojbor Woyczynski},
journal= {arXiv preprint arXiv:0707.2723},
year = {2007}
}