Analytic properties of Markov semigroup generated by stochastic differential equations driven by Lévy processes (Q507183)

This paper studies the Markov semigroup \(\{{\mathcal P}_{t} : t\geq 0\}\) generated by a stochastic differential equation of the form \(dX^{x}(t)=\sigma(X(t^{-}) dL(t)\), \(X^{x}(0)=x\), where \(\sigma : {\mathbb R}^{d} \to {\mathbb R}^{d}\) is \(d\)-dimensional Lévy process, and defined by \(({\mathcal P}_{t} f)(x) := {\mathbb E}[f(X^{x}(t))]\), \(t \geq 0\), \(x \in {\mathbb R}^{d}\), \(f\in {\mathcal B}_{b}({\mathbb R}^{d})\). In particular, analyticity properties of this semigroup are studied and the main result of the paper is a theorem providing conditions on the data of the problem under which the semigroup presents power law decay properties in time of the form \(|B {\mathcal P}_{t}u|_{H_2^{\rho}} \leq C t^{-\gamma} |u|_{H_2^{\rho}}\), for every \(u \in H_{2}^{\rho}({\mathbb R}^{d})\), \(t >0\) are provided, for some pseudo-differential operator \(B\) with symbol \(q\) where \(H_{2}^{\rho}({\mathbb R}^{d})\) is an appropriate Sobolev space of fractional order. The proof relies on techniques from the theory of degenerate \(C_{0}\) semigroups and the theory of pseudo-differential operators, while the result may find interesting application in the study of stochastic differential equations or filtering problems.