Communications in Partial Differential Equations · 2016 · 27 citations · 32 references
EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesContinuous-time Stochastic ProcessesDiffusion ProcessesJump ProcessesStochastic CalculusStochastic Differential EquationsStochastic StabilityDirichlet ProcessesHitting TimesJump-diffusion ModelsJump-diffusion ProcessesOperatorsRecurrenceRecurrence PropertiesViscosity
We study stochastic differential equations with jumps with no diffusion part, governed by a large class of stable-like operators, which may contain a drift term. For this class of operators, we establish the regularity of solutions to the Dirichlet problem up to the boundary as well as the usual stochastic characterization of these solutions. We also establish key connections between the recurrence properties of the jump process and the associated nonlocal partial differential operator. Provided that the process is positive (Harris) recurrent, we also show that the mean hitting time of a ball is a viscosity solution of an exterior Dirichlet problem.
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Harnack Inequalities for Jump Processes
Richard F. Bass, David Levin · Potential Analysis · 2002 · 236 citations