Shot-down stable processes

Authors Krzysztof Bogdan, Kajetan Jastrzȩbski, Moritz Kassmann, Michał Kijaczko, Paweł Popławski

Publication date 28 January 2023

Dirichlet forms (31C25) Integro-partial differential equations (35R09) Transition functions, generators and resolvents (60J35)

Abstract: The shot-down process is a strong Markov process which is annihilated, or shot down, when jumping over or to the complement of a given open subset of a vector space. Due to specific features of the shot-down time, such processes suggest new type of boundary conditions for nonlocal differential equations. In this work we construct the shot-down process for the fractional Laplacian in Euclidean space. For smooth bounded sets

D

, we study its transition density and characterize Dirichlet form. We show that the corresponding Green function is comparable to that of the fractional Laplacian with Dirichlet conditions on

D

. However, for nonconvex

D

, the transition density of the shot-down stable process is incomparable with the Dirichlet heat kernel of the fractional Laplacian for

D

. Furthermore, Harnack inequality in general fails for harmonic functions of the shot-down process.

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