Stable-like processes: Construction of the transition density and the behavior of sample paths near \(t=0\) (Q1333594)

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Stable-like processes: Construction of the transition density and the behavior of sample paths near \(t=0\)
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    Stable-like processes: Construction of the transition density and the behavior of sample paths near \(t=0\) (English)
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    19 January 1995
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    Let \(X= (x_ t,{\mathbf P}_ x\); \(x\in \mathbb{R}^ d)\) be a \(d\)-dimensional pure jump type Markov process generated by the operator \(-(- \Delta)^{\alpha(x)/2}\) \((0<\alpha(x) <2)\). This process was introduced by \textit{R. F. Bass} [Probab. Theory Relat. Fields 79, No. 2, 271-287 (1988; Zbl 0664.60080)]. Following him, we call it the stable-like process with exponent \(\alpha\). We show the existence of a transition density and local Hölder conditions for sample paths of this process with smooth exponent \(-(- \Delta)^{\alpha(x)/2}\). To do so, we consider the operator \(L_ \Phi\) which is obtained from \(-(- \Delta)^{\alpha(x)/2}\) by cutting off the support of its integral kernel with a positive smooth function \(\Phi\). We adapt to this operator the theory of pseudo-differential operators with variable order, which is an expansion of that in the case of constant order. We can construct the fundamental solution, in the sense of pseudo-differential operator, to the initial-value problem for the equation \(\partial_ t- L_ \Phi =0\). We obtain that the kernel function for this solution is a transition density of the Markov process \(X_ \Phi\) generated by \(L_ \Phi\). Using a localization argument, we have the first assertion. And using the estimates of the symbol of fundamental solution, we have the second assertion. This result is an expansion of that of \textit{R. M. Blumenthal} and \textit{R. K. Getoor} [J. Math. Mech. 10, 493-516 (1961; Zbl 0097.337)] in the case of symmetric stable processes.
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    jump process
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    stable-like process
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    existence of a transition density
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    local Hölder conditions for sample paths
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    pseudo-differential operators
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    kernel function
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    localization argument
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    symmetric stable processes
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