Residential College | false |
Status | 已發表Published |
On some smoothening effects of the transition semigroup of a Levy process | |
Doug, Zhao1; Peszat, Szymon2; Xu, Lihu3 | |
2016-02-15 | |
Source Publication | JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS |
ISSN | 0022-247X |
Volume | 434Issue: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. |
Keyword | Bismut-elworthy-li Formula Levy Processes Smoothening Effect |
DOI | 10.1016/j.jmaa.2015.10.003 |
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 | Faculty of Science and Technology DEPARTMENT OF MATHEMATICS |
Corresponding Author | Xu, Lihu |
Affiliation | 1.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 Affilication | Faculty 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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