Berestycki, J.; Döring, L.; Mytnik, L.; Zambotti, L. - In: Stochastic Processes and their Applications 125 (2015) 3, pp. 918-940
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...
