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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.