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arxiv: math/0606783 · v1 · submitted 2006-06-30 · 🧮 math.PR

On the absolute continuity of L\'{e}vy processes with drift

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keywords absolutecontinuitydriftthenabsolutelyclasscontinuousevery
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We consider the problem of absolute continuity for the one-dimensional SDE \[X_t=x+\int_0^ta(X_s) ds+Z_t,\] where $Z$ is a real L\'{e}vy process without Brownian part and $a$ a function of class $\mathcal{C}^1$ with bounded derivative. Using an elementary stratification method, we show that if the drift $a$ is monotonous at the initial point $x$, then $X_t$ is absolutely continuous for every $t>0$ if and only if $Z$ jumps infinitely often. This means that the drift term has a regularizing effect, since $Z_t$ itself may not have a density. We also prove that when $Z_t$ is absolutely continuous, then the same holds for $X_t$, in full generality on $a$ and at every fixed time $t$. These results are then extended to a larger class of elliptic jump processes, yielding an optimal criterion on the driving Poisson measure for their absolute continuity.

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