On some smoothening effects of the transition semigroup of a Lévy process

DOI10.1016/J.JMAA.2015.10.003MaRDI QIDQ891419zbMATH OpenOpenAlexFDO

Authors Zhao Dong, Szymon Peszat, Lihu Xu

Publication date 17 November 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.7603

zbMATH Keywords

Bismut-Elworthy-Li formulaLévy processessmoothening effect

Mathematics Subject Classification ID

Groups and semigroups of linear operators (47D03) Applications of operator theory in probability theory and statistics (47N30) Processes with independent increments; Lévy processes (60G51)

Abstract: Let $(P_t)$ be the transition semigroup of a L'evy process $L$ taking values in a Hilbert space $H$. Let $u$ be the L'evy measure of $L$. It is shown that for any bounded and measurable function $f$, ${\displaystyle }$ int_Hleftvert P_tf(x+y)-P_tf(x) ightvert ^2 u (dif y)le frac 1 t P_tf^2(x) qquad ext{for all $t>0$, $xinH$.} ${\displaystyle }$ As $u$ can be infinite this formula establishes some smoothening effect of the semigroup $(P_t)$. In the paper some applications of the formula will be presented as well.

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Cited in

(4)

• Smoothing properties of transition semigroups relative to SDEs with values in Banach spaces
• On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators
• Existence of a density of the 2-dimensional stochastic Navier Stokes equation driven by Lévy processes or fractional Brownian motion
• Smooth properties for semigroups of Lévy processes and their application

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