Transition densities for strongly degenerate time inhomogeneous random models

R. Höpfner; E. Löcherbach; M. Thieullen

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arXiv · 1310.7373

Transition densities for strongly degenerate time inhomogeneous random models

R. Höpfner·E. Löcherbach·M. Thieullen

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Abstract

In this paper we study the existence of densities for strongly degenerate stochastic differential equations whose coefficients depend on time and are not globally Lipschitz. In these models neither local ellipticity nor the strong Hörmander condition is satisfied. In this general setting we show that continuous transition densities indeed exist in all neighborhoods of points where the weak Hörmander condition is satisfied. We also exhibit regions where these densities remain positive. We then apply these results to stochastic Hodgkin-Huxley models as a first step towards the study of ergodicity properties of such systems.

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R. Höpfner, E. Löcherbach, M. Thieullen. 2013-10-28. Transition densities for strongly degenerate time inhomogeneous random models. https://arxiv.org/abs/1310.7373

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