In this article, we study the effects of the propagation of a non-degenerate Lévy noise through a chain of deterministic differential equations whose coefficients are Hölder continuous and satisfy a weak Hörmander-like condition. In particular, we assume some non-degeneracy with respect to the components which transmit the noise. Moreover, we characterize, for some specific dynamics, through suitable counter-examples, the almost sharp regularity exponents that ensure the weak well-posedness for the associated SDE. As a by-product of our approach, we also derive some Krylov-type estimates for the density of the weak solutions of the considered SDE.

Marino, L., Menozzi, S. (2023). Weak well-posedness for a class of degenerate Levy-driven SDEs with Holder continuous coefficients. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 162, 106-170 [10.1016/j.spa.2023.04.012].

Weak well-posedness for a class of degenerate Levy-driven SDEs with Holder continuous coefficients

Marino, L
;
2023

Abstract

In this article, we study the effects of the propagation of a non-degenerate Lévy noise through a chain of deterministic differential equations whose coefficients are Hölder continuous and satisfy a weak Hörmander-like condition. In particular, we assume some non-degeneracy with respect to the components which transmit the noise. Moreover, we characterize, for some specific dynamics, through suitable counter-examples, the almost sharp regularity exponents that ensure the weak well-posedness for the associated SDE. As a by-product of our approach, we also derive some Krylov-type estimates for the density of the weak solutions of the considered SDE.
Articolo in rivista - Articolo scientifico
Degenerate Lévy driven SDEs; Peano counter-example; Well-posedness of martingale problem;
English
19-apr-2023
2023
162
106
170
none
Marino, L., Menozzi, S. (2023). Weak well-posedness for a class of degenerate Levy-driven SDEs with Holder continuous coefficients. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 162, 106-170 [10.1016/j.spa.2023.04.012].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/518559
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