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On some smoothening effects of the transition semigroup of a Lévy process
Dong,Zhao1; Peszat,Szymon2; Xu,Lihu3
2015-11-12
Source PublicationJOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
ISSN0022-247X
Volume434Issue: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.

KeywordBismut-elworthy-li Formula Lévy Processes Smoothening Effect
DOI10.1016/j.jmaa.2015.10.003
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaMathematics
WOS SubjectMathematics, Applied ; Mathematics
WOS IDWOS:000374070800035
Scopus ID2-s2.0-84946426861
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Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorXu,Lihu
Affiliation1.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 AffilicationFaculty 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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