On the absolute continuity of Lévy processes with drift
Nourdin, Ivan ; Simon, Thomas
Ann. Probab., Tome 34 (2006) no. 1, p. 1035-1051 / Harvested from Project Euclid
We consider the problem of absolute continuity for the one-dimensional SDE ¶ Xt=x+∫0ta(Xs) ds+Zt, ¶ where Z is a real Lévy process without Brownian part and a a function of class $\mathcal{C}^{1}$ with bounded derivative. Using an elementary stratification method, we show that if the drift a is monotonous at the initial point x, then Xt is absolutely continuous for every t>0 if and only if Z jumps infinitely often. This means that the drift term has a regularizing effect, since Zt itself may not have a density. We also prove that when Zt is absolutely continuous, then the same holds for Xt, in full generality on a and at every fixed time t. These results are then extended to a larger class of elliptic jump processes, yielding an optimal criterion on the driving Poisson measure for their absolute continuity.
Publié le : 2006-05-14
Classification:  Absolute continuity,  jump processes,  Lévy processes,  60G51,  60H10
@article{1151418492,
     author = {Nourdin, Ivan and Simon, Thomas},
     title = {On the absolute continuity of L\'evy processes with drift},
     journal = {Ann. Probab.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 1035-1051},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1151418492}
}
Nourdin, Ivan; Simon, Thomas. On the absolute continuity of Lévy processes with drift. Ann. Probab., Tome 34 (2006) no. 1, pp.  1035-1051. http://gdmltest.u-ga.fr/item/1151418492/