In this paper, we first study a purely discontinuous Girsanov transform which is more general than that studied in Chen and Song [(2003), J. Funct. Anal. 201, 262–281]. Then we show that the transition density of any purely discontinuous Girsanov transform of a symmetric stable process is comparable to the transition density of the symmetric stable process. The same is true for the Girsanov transform introduced in Chen and Zhang [(2002), Ann. Inst. Henri poincaré 38, 475–505]. As an application of these results, we show that the Green function of Feynman–Kac type transforms of symmetric stable processes by continuous additive functionals of zero energy, when exists, is comparable to that of the symmetric stable process.
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Song, R. Estimates on the Transition Densities of Girsanov Transforms of Symmetric Stable Processes. J Theor Probab 19, 487–507 (2006). https://doi.org/10.1007/s10959-006-0023-4
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DOI: https://doi.org/10.1007/s10959-006-0023-4
Keywords
- Transition density
- Green function
- Girsanov transform
- Dirichlet forms
- symmetric Markov processes
- martingale additive functionals
- additive functionals of zero energy
- Feynman–Kac semigroups
- symmetric stable processes
- Brownian motion