Short-time behavior of solutions to Lévy-driven SDEs

Abstract

We consider solutions of Lévy-driven stochastic differential equations of the form $\mathrm{d} X_t=σ(X_{t-})\mathrm{d} L_t$, $X_0=x$ where the function $σ$ is twice continuously differentiable and maximal of linear growth and the driving Lévy process $L=(L_t)_{t\geq0}$ is either vector or matrix-valued. While the almost sure short-time behavior of Lévy processes is well-known and can be characterized in terms of the characteristic triplet, there is no complete characterization of the behavior of the process $X$. Using methods from stochastic calculus, we derive limiting results for stochastic integrals of the from $\smash{t^{-p}\int_{0+}^tσ(X_{t-})\mathrm{d} L_t}$ to show that the behavior of the quantity $t^{-p}(X_t-X_0)$ for $t\downarrow0$ almost surely mirrors the behavior of $t^{-p}L_t$. Generalizing $t^p$ to a suitable function $f:[0,\infty)\rightarrow\mathbb{R}$ then yields a tool to derive explicit LIL-type results for the solution from the behavior of the driving Lévy process.