Densities for Ornstein-Uhlenbeck processes with jumps

We consider an Ornstein–Uhlenbeck process with valuesin ⁿ driven by a Lévy process (Z_t) taking values in ^dwith d possibly smaller than n. The Lévy noise can havea degenerate or even vanishing Gaussian component. Under a controllabilityrank condition and a mild assumption on the Lévy measureof (Z_t), we prove that the law of the Ornstein–Uhlenbeckprocess at any time t > 0 has a density on ⁿ. Moreover, whenthe Lévy process is of -stable type, (0, 2), we showthat such density is a C-function.