Densities for SDEs driven by degenerate . -stable processes

Authors
Citation
Zhang, Xicheng, Densities for SDEs driven by degenerate . -stable processes, Annals of probability , 42(5), 2014, pp. 1885-1910
Journal title
ISSN journal
00911798
Volume
42
Issue
5
Year of publication
2014
Pages
1885 - 1910
Database
ACNP
SICI code
Abstract
In this work, by using the Malliavin calculus, under Hörmander.s condition, we prove the existence of distributional densities for the solutions of stochastic differential equations driven by degenerate subordinated Brownian motions. Moreover, in a special degenerate case, we also obtain the smoothness of the density. In particular, we obtain the existence of smooth heat kernels for the following fractional kinetic Fokker.Planck (nonlocal) operator: L(.)b:=../2v+v..x+b(x,v)..v,x,v.Rd, where ..(0,2) and b:Rd.Rd.Rd is smooth and has bounded derivatives of all orders.