Regularity and stability for the semigroup of jump diffusions with state-dependent intensity

DOI10.1214/18-AAP1382MaRDI QIDQ1617154zbMATH OpenWikidataFDO

Authors Vlad Bally, Dan Goreac, Victor Rabiet

Publication date 7 November 2018

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.02713, https://projecteuclid.org/euclid.aoap/1535443241

zbMATH Keywords

Boltzmann equationPDMPpiecewise diffusive jumps processesregularity of semigroups of operatorstrajectory-dependent jump intensityweak error

Mathematics Subject Classification ID

Boltzmann equations (35Q20) PDEs with randomness, stochastic partial differential equations (35R60) Markov semigroups and applications to diffusion processes (47D07)

Abstract: We consider stochastic differential systems driven by a Brownian motion and a Poisson point measure where the intensity measure of jumps depends on the solution. This behavior is natural for several physical models (such as Boltzmann equation, piecewise deterministic Markov processes, etc). First, we give sufficient conditions guaranteeing that the semigroup associated with such an equation preserves regularity by mapping the space of the of k-times differentiable bounded functions into itself. Furthermore, we give an explicit estimate of the operator norm. This is the key-ingredient in a quantitative Trotter-Kato-type stability result: it allows us to give an explicit estimate of the distance between two semigroups associated with different sets of coefficients in terms of the difference between the corresponding infinitesimal operators. As an application, we present a method allowing to replace " small jumps " by a Brownian motion or by a drift component. The example of the 2D Boltzmann equation is also treated in all detail.

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• Regularity properties of jump diffusions with irregular coefficients
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• Total variation distance between a jump-equation and its Gaussian approximation
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• Conditional McKean-Vlasov differential equations with common Poissonian noise: propagation of chaos
• Limit theorems of stochastic differential equations with jumps
• Convergence rates for inhomogeneous Markov chains from stochastic approximation algorithms

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