Existence of densities for stable-like driven SDE's with Holder continuous coefficients

被引：37

作者：

Debussche, Arnaud ^{[1
,2
]}

Fournier, Nicolas ^{[3
]}

机构：

[1] IRMAR, F-35170 Bruz, France

[2] ENS Cachan Bretagne, F-35170 Bruz, France

[3] Univ Paris Est, LAMA UMR 8050, Fac Sci & Technol, F-94010 Creteil, France

来源：

JOURNAL OF FUNCTIONAL ANALYSIS | 2013年 / 264卷 / 08期

关键词：

Levy processes; Stable processes; Stochastic differential equations with jumps; Absolute continuity; Besov spaces;

D O I：

10.1016/j.jfa.2013.01.009

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Consider a multidimensional stochastic differential equation driven by a stable-like Levy process. We prove that the law of the solution immediately has a density in some Besov space, under some non-degeneracy condition on the driving Levy process and some very light Holder-continuity assumptions on the drift and diffusion coefficients. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：1757 / 1778

页数：22

共 15 条

[1]

[Anonymous], 1999, CAMBRIDGE STUD ADV M

[2]

[Anonymous], 1992, MONOGR MATH

[3] Integration by parts formula and applications to equations with jumps [J].