Residential College | false |
Status | 已發表Published |
On some smoothening effects of the transition semigroup of a Lévy process | |
Dong,Zhao1; Peszat,Szymon2; Xu,Lihu3 | |
2015-11-12 | |
Source Publication | JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS |
ISSN | 0022-247X |
Volume | 434Issue:2Pages:1566-1580 |
Abstract | Let (P) be the transition semigroup of a Lévy process (L) taking values in a Hilbert space H. Let ν and N~ respectively be the Lévy measure and compensated Poisson random measure of (L). It is shown that for any bounded and measurable function f,AqPtf(x)=1tE[f(Ltx)∫0t∫Hq(y)N~(ds,dy)]for all t>0,x∈H, where A is some nonlocal operator. As a corollary,∫H|Ptf(x+y)-Ptf(x)|2ν(dy)≤1tPtf2(x)for all t>0,x∈H. As ν can be infinite this formula establishes some smoothening effect of the semigroup (P). In the paper some applications of the formula will be presented as well. |
Keyword | Bismut-elworthy-li Formula Lévy Processes Smoothening Effect |
DOI | 10.1016/j.jmaa.2015.10.003 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Mathematics |
WOS Subject | Mathematics, Applied ; Mathematics |
WOS ID | WOS:000374070800035 |
Scopus ID | 2-s2.0-84946426861 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | University of Macau |
Corresponding Author | Xu,Lihu |
Affiliation | 1.Institute of Applied MathematicsAcademy of Mathematics and Systems Sciences,Academia Sinica,China 2.Institute of MathematicsJagiellonian University,Kraków,30-348,Poland 3.Department of MathematicsFaculty of Science and TechnologyUniversity of Macau,Taipa Macau,China |
Corresponding Author Affilication | Faculty of Science and Technology |
Recommended Citation GB/T 7714 | Dong,Zhao,Peszat,Szymon,Xu,Lihu. On some smoothening effects of the transition semigroup of a Lévy process[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2015, 434(2), 1566-1580. |
APA | Dong,Zhao., Peszat,Szymon., & Xu,Lihu (2015). On some smoothening effects of the transition semigroup of a Lévy process. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 434(2), 1566-1580. |
MLA | Dong,Zhao,et al."On some smoothening effects of the transition semigroup of a Lévy process".JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 434.2(2015):1566-1580. |
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