Abstract
Let d ≥ 1 and Z be a subordinate Brownian motion on Rd with infinitesimal generator Δ + ψ(Δ), where ψ is the Laplace exponent of a one-dimensional non-decreasing Lévy process (called subordinator). We establish the existence and uniqueness of fundamental solution (also called heat kernel) p b(t, x, y) for non-local operator ℒb = Δ + ψ(Δ) + b · ∇, where b is an Rd-valued function in Kato class K d,1. We show that p b(t, x, y) is jointly continuous and derive its sharp two-sided estimates. The kernel p b(t, x, y) determines a conservative Feller process X. We further show that the law of X is the unique solution of the martingale problem for (Lb,C ∞ c (Rd)) and X is a weak solution of \(X_t = X_0 + Z_t + \int_0^t {b(X_s )ds,} t \geqslant 0\). Moreover, we prove that the above stochastic differential equation has a unique weak solution.
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Chen, ZQ., Dou, X. Drift perturbation of subordinate Brownian motions with Gaussian component. Sci. China Math. 59, 239–260 (2016). https://doi.org/10.1007/s11425-015-5088-z
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DOI: https://doi.org/10.1007/s11425-015-5088-z
Keywords
- subordinate Brownian motion
- heat kernel
- Kato class
- gradient perturbation
- Feller process
- Lévy system
- martingale problem
- stochastic differential equation