Stochastic Integrals and SDE Driven by Nonlinear Lévy Noise

Vassili N. Kolokoltsov ()
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Vassili N. Kolokoltsov: University of Warwick, Department of Statistics

A chapter in Stochastic Analysis 2010, 2011, pp 227-242 from Springer

Abstract: Abstract We develop the theory of SDE driven by nonlinear Lévy noise, aiming at applications to Markov processes. It is shown that a conditionally positive integro-differential operator (of the Lévy–Khintchine type) with variable coefficients (diffusion, drift and Lévy measure) depending Lipschitz continuously on its parameters generates a Markov semigroup, where the measures are metricized by the Wasserstein–Kantorovich metrics W p . The analysis of SDE driven by nonlinear Lévy noise was initiated by the author in (“Kolokoltsov, Probability Theory Related Fields, DOI: 10.1007/s00440-010-0293-8, 2009”) (inspired partially by “Carmona and Nualart, Nonlinear Stochastic Integrators, Equations and Flows, Stochatic Monographs, v. 6, Gordon and Breach, 1990”), see also (“Kolokoltsov, Nonlinear Markov Processes and Kinetic Equations, Monograph. To appear in CUP, 2010”). Here, we suggest an alternative (seemingly more straightforward) approach based on the path-wise interpretation of these integrals as nonhomogeneous Lévy processes. Moreover, we are working with more general W p -distances rather than with W 2.

Keywords: SDE driven by Lévy noise; Nonlinear integrators; Wasserstein-Kantorovich metric; Pseudo-differential operators; Markov processes (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15358-7_11

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DOI: 10.1007/978-3-642-15358-7_11

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