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On some smoothening effects of the transition semigroup of a Levy process
Doug, Zhao1; Peszat, Szymon2; Xu, Lihu3
2016-02-15
Source PublicationJOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
ISSN0022-247X
Volume434Issue:2Pages:1566-1580
Abstract

Let (Pt) be the transition semigroup of a Levy process (Lt) taking values in a Hilbert space H. Let nu and (N~) over tilde respectively be the Levy measure and compensated Poisson random measure of (Lt). It is shown that for any bounded and measurable function f, AqPtf(x) = 1/t E[f(Ltx) integral(t)(0) integral(H) q(y)(N) (ds, dy)] for all t > 0, x is an element of H, where Aq is some nonlocal operator. As a corollary, integral(H) broken vertical bar Ptf(x + y) - Ptf(x)vertical bar2 v(dy) <= 1/t Ptf2(x) for all t > 0, x is an element of H. As v can be infinite this formula establishes some smoothening effect of the semigroup (Pt).In the paper some applications of the formula will be presented as well.

KeywordBismut-elworthy-li Formula Levy Processes Smoothening Effect
DOI10.1016/j.jmaa.2015.10.003
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
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorXu, Lihu
Affiliation1.Institute of Applied Mathematics, Academy of Mathematics and Systems Sciences, Academia Sinica, PR China
2.Institute of Mathematics, Jagiellonian University, Łojasiewicza 6,30-348 Kraków, Poland
3.Department of Mathematics, Faculty of Science and Technology, University of Macau, Av.Padre Tomás Pereira, Taipa Macau,China
Corresponding Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Doug, Zhao,Peszat, Szymon,Xu, Lihu. On some smoothening effects of the transition semigroup of a Levy process[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2016, 434(2), 1566-1580.
APA Doug, Zhao., Peszat, Szymon., & Xu, Lihu (2016). On some smoothening effects of the transition semigroup of a Levy process. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 434(2), 1566-1580.
MLA Doug, Zhao,et al."On some smoothening effects of the transition semigroup of a Levy process".JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 434.2(2016):1566-1580.
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