A Parametrix Approach for some Degenerate Stable Driven SDEs
Probability
2015-03-06 v2
Abstract
We consider a stable driven degenerate stochastic differential equation, whose coefficients satisfy a kind of weak H{\"o}rmander condition. Under mild smoothness assumptions we prove the uniqueness of the martingale problem for the associated generator under some dimension constraints. Also, when the driving noise is scalar and tempered, we establish density bounds reflecting the multi-scale behavior of the process.
Keywords
Cite
@article{arxiv.1402.3997,
title = {A Parametrix Approach for some Degenerate Stable Driven SDEs},
author = {Lorick Huang and Stephane Menozzi},
journal= {arXiv preprint arXiv:1402.3997},
year = {2015}
}
Comments
45 pages