Existence of densities and atoms for the running maximum of time-inhomogeneous jump diffusions

Abstract

We prove absolute continuity of the running maximum $X^{\ast}_T=\sup_{0\leq s\leq T}X_s$ of one-dimensional time-inhomogeneous Lévy--Itô diffusions driven by a Brownian motion and an independent non-truncated pure-jump Lévy process. Using Bismut's directional Malliavin calculus on the Wiener--Poisson space together with the running-maximum criteria of Song--Xie and Nakagawa--Suzuki, we reduce the problem to constructing an admissible direction $Θ$. The key is to ensure that the directional derivative $D_ΘX_t$ is strictly positive for all $t\in(0,T]$. We give explicit directions in two regimes. In the uniformly elliptic case with time-inhomogeneous coefficients, a purely Brownian perturbation yields an explicit positive integral representation for $D_ΘX_t$, and hence $X^{\ast}_T$ admits a density without truncating the jump component. In a Brownian-degenerate pure-jump model with a bounded deterministic time-dependent jump weight $κ(t)$ that may vanish on subintervals, we prove absolute continuity under the minimal nondegeneracy-in-time condition $\int_0^t κ(s)^2\,ds>0$ for every $t>0$ and infinite activity of the Lévy measure. A weighted Poisson positivity lemma is the key new input. Finally, we show that silent initial intervals can create atoms and we derive an explicit atom--density decomposition.