Hitting properties and non-uniqueness for SDE driven by stable processes

We study a class of self-similar jump type SDEs driven by Hölder-continuous drift and noise coefficients. Using the Lamperti transformation for positive self-similar Markov processes we obtain a necessary and sufficient condition for almost sure extinction in finite time. We then show that for certain parameters pathwise uniqueness holds in a restricted sense, namely among solutions spending a Lebesgue-negligible amount of time at 0. A direct power transformation plays a key role.

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Source https://hal.science/hal-00706796
Author Berestycki, Julien, Doering, Leif, Mytnik, Leonid, Zambotti, Lorenzo
Maintainer CCSD
Last Updated May 15, 2026, 20:10 (UTC)
Created May 15, 2026, 20:10 (UTC)
Identifier hal-00706796
Language en
contributor Laboratoire de Probabilités et Modèles Aléatoires (LPMA) ; Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS)
creator Berestycki, Julien
date 2011-11-23T00:00:00
harvest_object_id e911317e-6be9-404d-9b78-d3424b6f9aaf
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-09-29T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1111.4388
set_spec type:UNDEFINED