DENSITY ESTIMATES FOR SDES DRIVEN BY TEMPERED STABLE PROCESSES

L Huang (1)

1 Climate Research Division [Toronto]

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

Mots clés: tempered stable process; parametrix; density bounds

Domaines: Probabilités [math.PR]

L Huang. DENSITY ESTIMATES FOR SDES DRIVEN BY TEMPERED STABLE PROCESSES. 2015. ⟨hal-01142933v1⟩