On the Estimates of the Density of Feynman-Kac Semigroups of $α$-Stable-like Processes

Details On the Estimates of the Density of Feynman-Kac Semigroups of $α$-Stable-like Processes On the Estimates of the Density of Feynman-Kac Semigroups of $α$-Stable-like Processes

2006-11-19

arxiv.org/abs/math/0611565v1

Mathematics

Probability

27 pages

Scientific paper

Suppose that $\alpha \in (0,2)$ and that $X$ is an $\alpha$-stable-like process on $\R^d$. Let $F$ be a function on $\R^d$ belonging to the class $\bf{J_{d,\alpha}}$ (see Introduction) and $A_{t}^{F}$ be $\sum_{s \le t}F(X_{s-},X_{s}), t> 0$, a discontinuous additive functional of $X$. With neither $F$ nor $X$ being symmetric, under certain conditions, we show that the Feynman-Kac semigroup $\{S_{t}^{F}:t \ge 0\}$ defined by $$ S_{t}^{F}f(x)=\mathbb{E}_{x}(e^{-A_{t}^{F}}f(X_{t}))$$ has a density $q$ and that there exist positive constants $C_1,C_2,C_3$ and $C_4$ such that $$C_{1}e^{-C_{2}t}t^{-\frac{d}{\alpha}}(1 \wedge \frac{t^{\frac{1}{\alpha}}}{|x-y|})^{d+\alpha} \leq q(t,x,y) \leq C_{3}e^{C_{4}t}t^{-\frac{d}{\alpha}}(1 \wedge \frac{t^{\frac{1}{\alpha}}}{|x-y|})^{d+\alpha}$$ for all $(t,x,y)\in (0,\infty) \times \R^d \times \R^d$.

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