17 citations · 30 across the 9 of their papers we have counts for
4 papers · 1 filter
Brownian Motion with Singular Time-Dependent Drift
Peng Jin
In this paper we study weak solutions for the following type of stochastic differential equation \[ dX_{t}=dW_{t}+b(t, X_{t})dt, \quad t\ge s, \quad X_{s}=x, \] where $b: [0,\infty…
Heat kernel estimates for non-symmetric stable-like processes
Peng Jin
Let and . Consider the integro-differential operator \[ \mathcal{L}f(x) =\int_{\mathbb{R}^{d}\backslash\{0\}}\left[f(x+h)-f(x)-χ_α(h)\nabla f(x)\cdot h\right]\frac{n…
Moments and ergodicity of the jump-diffusion CIR process
Peng Jin, Jonas Kremer, Barbara Rüdiger
We study the jump-diffusion CIR process, which is an extension of the Cox-Ingersoll-Ross model and whose jumps are introduced by a subordinator. We provide sufficient conditions on…
Well-posedness of the martingale problem for non-local perturbations of Lévy-type generators
Peng Jin
Let be a Lévy-type generator whose Lévy measure is controlled from below by that of a non-degenerate -stable () process. In this paper, we study the martingale proble…