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

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

2008-06-03

arxiv.org/abs/0806.0442v1

Mathematics

Probability

Submitted to Probability Theory and Mathematical Statistics

Scientific paper

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.

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