No label defined (Q4940271)

Let \(x(t)\) be a continuous generalized diffusion process in the \(d\)-dimensional Euclidean space \(R^{d}.\) The diffusion operator of \(x(t)\) is the identity operator and its drift is a function of the form \(\nu q(x)\delta_{s}(x)\), where \(\nu\) is a given fixed unit vector from \(R^{d}\), \(S=\{ x\in R^{d}:(x,\nu)=0\}\), \(q(\cdot)\) is a given continuous real-valued function on \(S\) with the property \(|q(x)|\leq 1\), and \(\delta_{s}(x)\) is determined by the relation \((\delta_{s},\varphi)=\int_{S} \varphi(x) d\sigma.\) Let \(\eta_{t}(r)=\int_0^{t} r(x(\tau))\delta_{s}(x(\tau)) d\tau\), where \(r(\cdot)\) is a continuous bounded function on \(S.\) The author constructs a new continuous Markov process \({\widetilde x}(\cdot)\) in \(R^{d}\) such that the following relation holds: \(E_{x}\varphi(x(t))\exp\{ -\eta_{t}(r)\}=E_{x}\varphi({\widetilde x}(t)).\) The main result of this article is the assertion: For all \(t>0\) and \(x\in R^{d}\) the relation \[ E_{x}\varphi(x(t))\exp\{-\eta_{t}(r)\}= \int_{R^{d}}{\widetilde G}(t,x,y)\varphi(y) dy \] holds with an arbitrary measurable bounded function \(\varphi\) on \(R^{d}\), where \({\widetilde G}(t,x,y)\) is a solution to the following pair of integral equations \((t>0\), \(x\in R^{d}\), \(y\in R^{d})\): \[ \begin{aligned} {\widetilde G}(t,x,y)&= G(t,x,y)-\int_0^{t} d\tau \int_{S}g(\tau,x,z){\widetilde G}(t-\tau,z,y) r(z) d\sigma_{z},\\ {\widetilde G}(t,x,y)&= G(t,x,y)-\int_0^{t} d\tau \int_{S}{\widetilde G}(\tau,x,z){\widetilde G}(t-\tau,z,y) r(z) d\sigma_{z},\\ \text{where} g(t,x,y)&=(2\pi t)^{-d/2} \exp\{-|y-x|^2/2t\},\\ G(t,x,y)&= g(t,x,y)+\int_0^{t} d\tau \int_{S} g(t,x,z){\partial g(t-\tau,z,y)\over \partial\nu_{z}}q(z) d\sigma_{z}.\end{aligned} \] Moreover, every equation has no more than one solution satisfying the inequality \({\widetilde G}(t,x,y)\leq Kg(t,x,y)\) for all \(t>0\), \(x\in R^{d}\), \(y\in R^{d}\) with some constant \(K.\)