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Conditions for existence and smoothness of the distribution density for an Ornstein-Uhlenbeck process with Levy noise

Authors :
Bodnarchuk, Semen V.
Kulik, Alexey M.
Publication Year :
2008

Abstract

Conditions are given, sufficient for the distribution of an Ornstein-Uhlenbeck process with L\'evy noise to be absolutely continuous or to possess a smooth density. For the processes with non-degenerate drift coefficient, these conditions are a necessary ones. A multidimensional analogue for the non-degeneracy condition on the drift coefficient is introduced.<br />Comment: Submitted to Probability Theory and Mathematical Statistics

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.0806.0442
Document Type :
Working Paper