Strongly degenerate time inhomogeneous SDEs: Densities and support properties. Application to Hodgkin–Huxley type systems

Abstract

In this paper, we study the existence of densities for strongly degenerate stochastic differential equations (SDEs) whose coefficients depend on time and are not globally Lipschitz. In these models, neither local ellipticity nor the strong Hörmander condition is satisfied. In this general setting, we show that continuous transition densities indeed exist in all neighborhoods of points where the weak Hörmander condition is satisfied. We also exhibit regions where these densities remain positive. We then apply these results to stochastic Hodgkin–Huxley models with periodic input as a first step towards the study of ergodicity properties of such systems in the sense of Meyn and Tweedie (Adv. in Appl. Probab. 25 (1993) 487–517; Adv. in Appl. Probab. 25 (1993) 518–548).