Back to Search
Start Over
Conditions for existence and smoothness of the distribution density for an Ornstein-Uhlenbeck process with Levy noise
- 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
- Subjects :
- Mathematics - Probability
60J55
60J45
60F17
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.0806.0442
- Document Type :
- Working Paper