Small-time sharp bounds for kernels of convolution semigroups

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Publication:2408412



Abstract: We study small time bounds for transition densities of convolution semigroups corresponding to pure jump L'evy processes in mathbbRd, dgeq1, including those with jumping kernels exponentially and subexponentially localized at infinity. For a large class of L'evy measures, non-necessarily symmetric nor absolutely continuous with respect to the Lebesgue measure, we find the optimal, both in time and space, upper bound for the corresponding transition kernels at infinity. In case of L'evy measures that are symmetric and absolutely continuous, with densities g such that g(x)asympf(|x|) for nonincreasing profile functions f, we also prove the full characterization of the sharp two-sided transition densities bounds of the form p_t(x) asymp h(t)^{-d} cdot mathbf{1}_{left{|x|leq heta h(t) ight}} + t , g(x) cdot mathbf{1}_{left{|x| geq heta h(t) ight}}, quad t in (0,t_0), t_0>0, x in mathbb{R}^{d}. This is done for small and large x separately. Mainly, our argument is based on new precise upper bounds for convolutions of L'evy measures. Our investigations lead to an interesting and surprising dichotomy of the decay properties at infinity for transition kernels of pure jump L'evy processes. All results are obtained solely by analytic methods, without use of probabilistic arguments.


Consider the transition density \(p_t\) of a pure jump Lévy process with Lévy-Khintchin exponent \(\Phi\), infinite Lévy measure \(v\) on \(\mathbb R^d\setminus\{0\}\), and drift term \(b\in\mathbb R^d\). Suppose \(v(dx) = g(x)dx\), \(g(y)= g(-y)\), and \(g(x)\asymp f(x)\), \(x\in\mathbb R^d\setminus\{0\}\) for some nonincreasing function \(f:(0,\infty)\to(0,\infty)\), and define \(\Psi(r):= \sup_{|\xi|\leq r}\mathrm{Re}\,\Phi(\xi)\), \(r>0\), \(h(t):=1/\Psi^{-1}(1/t)\), and \[ b_r:= \begin{cases} b- \int_{r\leq| y|<1} yv(dy) & r<1, \\ b & r=1, \\ b+ \int_{1\leq| y|<r}yv(dy) & r>1. \end{cases} \] The authors give necessary and sufficient conditions for sharp two-side transition density bounds of the form \(p_t(x+ tb)\asymp[h(t)]^{-d} 1_{\{| x|\leq\theta h(t)\}}+ tg(x)1_{\{| x|\leq\theta h(t)\}}\), \(t\in(0,t_0]\), \(t_0>0\), \(x\in\mathbb R^d\), separately for small and large \(x\), as well as sufficient conditions for an estimate of the form \(p_t(x+ tb_{h(t)})\leq Ct[h(t)]^{\gamma-d} f(x)\), \(| x|> R\), \(t\in(0,t_0]\). The proof is purely analytic, based on new precise upper bounds for convolutions of Lévy measures. The conditions involved and several examples are discussed in detail.



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