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

DOI10.1007/S11118-016-9570-1zbMATH Open1390.60204arXiv1412.1453OpenAlexW2271614567WikidataQ59225595 ScholiaQ59225595MaRDI QIDQ507183FDOQ507183

Authors: Pani W. Fernando, Erika Hausenblas, Paul André Razafimandimby 

Publication date: 3 February 2017

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: We consider the stochastic differential equations of the form �egin{equation*} �egin{cases} dX^ x(t) = sigma(X(t-)) dL(t) \ X^ x(0)=x,quad xinmathbb{R}^ d, end{cases} end{equation*} where $sigma:mathbb{R}^{d}omathbb{R}^d$ is Lipschitz continuous and $L=L(t):tge0$ is a L'evy process. Under this condition on $sigma$ it is well known that the above problem has a unique solution $X$. Let $(mathcal{P}_t{)}_{tge0}$ be the Markovian semigroup associated to $X$ defined by $(mathcal{P}_{t}f)(x):=mathbbE[f(X^x(t))]$, $tge0$, $xinmathbb{R}^d$, $finmathcal{B}_b(mathbb{R}^d)$. Let $B$ be a pseudo--differential operator characterized by its symbol $q$. Fix $hoinmathbbR$. In this article we investigate under which conditions on $sigma$, $L$ and $q$ there exist two constants $gamma>0$ and $C>0$ such that ${\displaystyle }$ lvert B mathcal{P}_t u vert_{H^ ho_2} le C , t^{-gamma} ,lvert u vert_{H^ ho_2}, quad forall u in {H^ ho_2}(mathbb{R}^d ),, t>0. ${\displaystyle }$

Full work available at URL: https://arxiv.org/abs/1412.1453

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zbMATH Keywords

Sobolev-Slobodeckii spacesMarkovian semigroupgeneralized Blumenthal-Getoor indexHoh's symbolpseudo-differential operator Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fourier integral operators applied to PDEs (35S30) Transition functions, generators and resolvents (60J35) Pseudodifferential operators as generalizations of partial differential operators (35S05) One-parameter semigroups and linear evolution equations (47D06)

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Cited In (4)

• On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators
• Nonlinear filtering with correlated Lévy noise characterized by copulas
• GENERATORS OF MEHLER-TYPE SEMIGROUPS AS PSEUDO-DIFFERENTIAL OPERATORS
• Regularity of semigroups for exponentially tempered stable processes with drift

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