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SPD

Seminar

Existence of densities for stable-like driven SDE's with Hölder continuous coefficients

Debussche, A (ENS de Cachan)
Wednesday 12 September 2012, 12:00-12:50

Seminar Room 1, Newton Institute

Abstract

Consider a multidimensional stochastic differential equations driven by a stable-like Lévy process. We prove that the law of the solution immediately has a density in some Besov space, under some non-degeneracy condition and some very light Hölder-continuity assumptions on the drift and diffusion coefficients.

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