Conditions for the existence and smoothness of the distribution density of the Ornstein–Uhlenbeck process with Lévy noise
Анотація
Some sufficient conditions are found for the distribution of the OrnsteinâUhlenbeck process with Lévy noise to be absolutely continuous or to have a smooth density. These conditions are necessary for one-dimensional processes with a nondegenerate drift coefficient. We also give a multidimensional analog of the condition that the drift parameter is nondegenerate.
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