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

Abstract

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 in some cases 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.