Fundamental solutions of nonlocal Hörmander's operators

Abstract: Consider the following nonlocal integro-differential operator: for

a l p h a i n (0, 2)

,

cL^{(alpha)}_{sigma,b} f(x):=mbox{p.v.} int_{|z|<delta}frac{f(x+sigma(x)z)-f(x)}{|z|^{d+alpha}}dif z+b(x)cdot abla f(x)+sL f(x),

where

s i g m a : m R^{d} o m R^{d} i m e s m R^{d}

and

b : m R^{d} o m R^{d}

are two

C^{i} n f t y_{b}

-functions,

d e l t a

is a small positive number, p.v. stands for the Cauchy principal value, and

s L

is a bounded linear operator in Sobolev spaces. Let

B_{1} (x) := s i g m a (x)

and

B_{j + 1} (x) := b (x) c d o t a b l a B_{j} (x) - a b l a b (x) c d o t B_{j} (x)

for

j i n m N

. Under the following uniform H"ormander's type condition: for some

j_{0} i n m N

,

inf_{xinmR^d}inf_{|u|=1}sum_{j=1}^{j_0}|u B_j(x)|^2>0,

by using Bismut's approach to the Malliavin calculus with jumps, we prove the existence of fundamental solutions to operator

c L_{s i g m a, b}^{(a l p h a)}

. In particular, we answer a question proposed by Nualart cite{Nu1} and Varadhan cite{Va}.

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