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arXiv · 0806.0442

Conditions for existence and smoothness of the distribution density for an Ornstein-Uhlenbeck process with Levy noise

Semen V. Bodnarchuk·Alexey M. Kulik
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Abstract

Conditions are given, sufficient for the distribution of an Ornstein-Uhlenbeck process with Lévy noise to be absolutely continuous or to possess a smooth density. For the processes with non-degenerate drift coefficient, these conditions are a necessary ones. A multidimensional analogue for the non-degeneracy condition on the drift coefficient is introduced.

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Semen V. Bodnarchuk, Alexey M. Kulik. 2008-06-03. Conditions for existence and smoothness of the distribution density for an Ornstein-Uhlenbeck process with Levy noise. https://arxiv.org/abs/0806.0442

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