Professional Documents
Culture Documents
Guohuan Zhao
gzhao@amss.ac.cn
Proposition 1
Let QG be a RCD for X given G. If f : E → R has E|f (X )| < ∞,
then Z
E(f (X )|G)(ω) = f (x)QG (ω, dx) a.s..
E
Exercise 1
(1) is equivalent to
Noting that
we have
Z
Pr ,t (·, dy ) = Pr ,s (·, dz)Ps,t (z, dy ) law(Xr ) − a.s.
E
Time-homogeneous
exists for all φ ∈ Cc∞ , and that Pt (x, dy ) = p(t, x, y )dy . Under
mild conditions, this implies
d
Pt f = LPt f = Pt Lf , ∀f ∈ Cc∞
dt
and (
∂t p(t, x, y ) = Lp(t, ·, y )(x)
(4)
p(0, ·, y ) = δy
in the sense of distribution.
Infinitesimal generators
Lφ(x0 ) ⩽ 0,
Remark 1
1. Suppose that L is defined by (3), then it satisfies the positive
maximum principle and L has representation (5) with c = 0;
2. L in (5) is the generator of a Lévy process if c = 0 and a, b
and ν are independent with x.
In the rest of this chapter, we add the assumption that the
operator L in (3) is local, in the sense that Lφ(x) = 0 whenever φ
vanishes in a neighborhood of x. Roughly speaking, local
infinitesimal generators correspond to Markov processes with
continuous trajectories (Diffusion processes).
Exercise 2
The operator L defined in (3) is local iff
1
Lφ(x) = aij (x)∂ij φ(x) + bi (x)∂i φ(x), (6)
2
or
1
lim Pt (x, Brc (x)) = 0.
t→0t
Exercise 3
Let X be a Markov process on Rd with transition function Pt . If
1
lim sup Pt (x, Brc (x)) = 0,
u↓0 u t∈[0,u];x∈Rd
Moreover, p fulfils
(a) (Two-sided estimate)
2 /Ct 2 /t
t −d/2 e−|x−y | ≲ pt (x, y ) ≲ t −d/2 e−C |x−y | ;
(b) (Conservative) Z
pt (x, y )dy = 1;
Rd
(c) (C-K equation)
Z
pt+s (x, y ) = pt (x, z)ps (z, y )dz.
Rd
Question
Philippe Courrège.
Générateur infinitésimal d’un semi-groupe de convolution sur Rn et formule de Lévy-Khinchine.
PhD thesis, 1968.
Rick Durrett.
Probability: theory and examples, volume 49.
Cambridge university press, 2019.
Avner Friedman.
Partial differential equations of parabolic type.
Courier Dover Publications, 2008.