Stochastic flows for Lévy processes with Hölder drifts
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In this paper, we study the following stochastic differential equation (SDE) in :
where is a Lévy process. We show that for a large class of Lévy processes and Hölder continuous drifts , the SDE above has a unique strong solution for every starting point . Moreover, these strong solutions form a -stochastic flow. As a consequence, we show that, when is an -stable-type Lévy process with and is a bounded -Hölder continuous function with , the SDE above has a unique strong solution. When , this in particular partially solves an open problem from Priola. Moreover, we obtain a Bismut type derivative formula for when is a subordinate Brownian motion. To study the SDE above, we first study the following nonlocal parabolic equation with Hölder continuous and :
where is the generator of the Lévy process .
Zhen-Qing Chen, Renming Song, Xicheng Zhang, Stochastic flows for Lévy processes with Hölder drifts. Rev. Mat. Iberoam. 34 (2018), no. 4, pp. 1755–1788
DOI 10.4171/RMI/1042