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DENSITY ESTIMATES FOR SDES DRIVEN BY TEMPERED STABLE PROCESSES

Abstract : We study a class of stochastic differential equations driven by a possibly tempered Lévy process, under mild conditions on the coefficients. We prove the well-posedness of the associated martingale problem as well as the existence of the density of the solution. Two sided heat kernel estimates are given as well. Our approach is based on the Parametrix series expansion
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https://hal.archives-ouvertes.fr/hal-01142933
Contributor : Lorick Huang <>
Submitted on : Thursday, January 28, 2016 - 10:44:55 AM
Last modification on : Saturday, May 30, 2020 - 10:26:02 PM
Document(s) archivé(s) le : Friday, April 29, 2016 - 10:13:07 AM

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  • HAL Id : hal-01142933, version 2
  • ARXIV : 1504.04183

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L Huang. DENSITY ESTIMATES FOR SDES DRIVEN BY TEMPERED STABLE PROCESSES. 2016. ⟨hal-01142933v2⟩

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