Fundamental solutions of nonlocal Hörmander's operators. II.

DOI10.1214/16-AOP1102MaRDI QIDQ2012252zbMATH OpenFDO

Authors Xicheng Zhang

Publication date 28 July 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/16-AOP1102

zbMATH Keywords

fundamental solutionHörmander conditionMalliavin calculus with jumpsMalliavin matrixnonlocal integro-differential Hörmander operatorsmooth coefficientsstable subordinator

Mathematics Subject Classification ID

Integro-differential operators (47G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Review text

The author considers nonlocal integro-differential Hörmander operator with smooth coefficients and introduces uniform Hörmander-type conditions on the coefficients of this operator. Under these conditions, using \textit{J.-M. Bismut}'s [Z. Wahrscheinlichkeitstheor. Verw. Geb. 63, 147--235 (1983; Zbl 0494.60082)] approach to the Malliavin calculus with jumps, the existence of fundamental solutions to the Hörmander operator is proved. From the point of view of stochastic differential equations (SDEs), the problem is equivalent to the study of distributional density of the solution of SDE with \(d\)-dimensional Brownian motion and independent stable subordinator. The smoothness of the distributional density is established for nonconstant diffusion coefficient. For Part I, see [\textit{X. Zhang}, Commun. Math. Stat. 4, No. 3, 359--402 (2016; Zbl 1365.60064)].

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