Integrability of functionals of Dirichlet processes, probabilistic representations of semigroups, and estimates of heat kernels (Q1269620): Difference between revisions

Let \((X_t,P^x)\) and \(Q_t\) be the diffusion process and its transition function associated with the Dirichlet form \(({\mathcal E}_0,{\mathcal D}({\mathcal E}_0))\) determined by \[ {\mathcal E}_0(u,v)= {1 \over 2} \sum_{i,j=1}^d \int_{R^d} a_{ij}(x) {\partial u \over \partial x_i}{\partial v \over \partial x_j} dx \] for a uniformly elliptic symmetric family \(a=(a_{ij})\). Denote by \(M_t=(M^1_t,\dots,M^d_t)\) the martingale part appearing in the Fukushima's decomposition of \(X_t-X_0\). Then, using the time reverse operator \(\gamma_t\), Lyons-Zheng decomposition says that \[ X_s-X_0=\tfrac 12 M_s - \tfrac 12 (M_t(\gamma_t(\omega))- M_{t-s}(\gamma_t(\omega))) \text{ for }s \leq t. \] After proving the exponential martingale property of \(\exp(\int_0^t f(X_s)dB_s- \frac 12 \int_0^t f^2(X_s)ds)\) for \(f \in L^p\) \((p >d)\), it is shown that the transition function \(P_t\) corresponding to the non-divergence form \[ {\mathcal Q}(u,v)={\mathcal E}_0(u,v)-\int_{R^d}\langle b,\nabla u\rangle v dx - \int_{R^d} u \langle \hat{b},\nabla v \rangle dx - \int_{R^d}cuvdx \] is explicitly given by \[ \int_{R^d}P_tg dx = E_m \Bigl[f(X_0)g(X_t) \exp(M_t+\bar{M}_t+A_t)\Bigr], \] where \[ A_t= \int_0^t (c-\textstyle{1 \over 2} (b-\hat{b})a^{-1}(b-\hat{b})^*) (X_s)ds,\;M_t=\int_0^t(a^{-1}b)^*(X_s)dM_s \text{ and } \bar{M}_t=\int_0^t(a^{-1}\hat{b})^*(X_s)ds. \] Further the correspondences of the operator norms from \(L^a\) to \(L^b\) between the original transition function \(Q_t\) and its perturbed transition function \(P_t\) are given and are used to give a short proof of the off-diagonal estimates of the heat kernel of \(X_t\).