Regularity of Local Times Associated with Volterra–Lévy Processes and Path-Wise Regularization of Stochastic Differential Equations

Abstract

AbstractWe investigate the space-time regularity of the local time associated with Volterra–Lévy processes, including Volterra processes driven by $$\alpha $$ α -stable processes for $$\alpha \in (0,2]$$ α ∈ ( 0 , 2 ] . We show that the spatial regularity of the local time for Volterra–Lévy process is $${\mathbb {P}}$$ P -a.s. inverse proportional to the singularity of the associated Volterra kernel. We apply our results to the investigation of path-wise regularizing effects obtained by perturbation of ordinary differential equations by a Volterra–Lévy process which has sufficiently regular local time. Following along the lines of Harang and Perkowski (2020), we show existence, uniqueness and differentiability of the flow associated with such equations.