Extension technique for functions of diffusion operators: a stochastic approach

DOI10.1214/21-EJP624zbMATH Open1480.60225arXiv1910.12772OpenAlexW3160608017MaRDI QIDQ2042811FDOQ2042811

Authors: Yanyan Li 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: It has recently been shown that complete Bernstein functions of the Laplace operator map the Dirichlet boundary condition of a related elliptic PDE to the Neumann boundary condition. The importance of this mapping consists in being able to convert problems involving non-local operators, like fractional Laplacians, into ones that only involve differential operators. We generalise this result to diffusion operators associated with stochastic differential equations, using a method which is entirely based on stochastic analysis.

Full work available at URL: https://arxiv.org/abs/1910.12772

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zbMATH Keywords

Dirichlet-to-Neumann mapelliptic equationKrein stringstrace process

Mathematics Subject Classification ID

Diffusion processes (60J60) Boundary value problems for second-order elliptic equations (35J25) Degenerate elliptic equations (35J70) Integro-differential operators (47G20) Local time and additive functionals (60J55) Probabilistic potential theory (60J45)

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Cited In (2)

• On the confusion and diffusion properties of Maiorana-McFarland's and extended Maiorana-McFarland's functions
• Boundary traces of shift-invariant diffusions in half-plane

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