A Parametrix Approach for some Degenerate Stable Driven SDEs

Lorick Huang; Stephane Menozzi

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arXiv · 1402.3997

A Parametrix Approach for some Degenerate Stable Driven SDEs

Lorick Huang·Stephane Menozzi

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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.

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Lorick Huang, Stephane Menozzi. 2014-02-17. A Parametrix Approach for some Degenerate Stable Driven SDEs. https://arxiv.org/abs/1402.3997

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