5 pages. The material of our previous articles 1012.0733, 1012.0737, 1012.0739 has been re-organized. The present article is essentially Appendix A of 1012.0733
We investigate the relation between the e-property and the eventual continuity, or called the asymptotic equicontinuity, which is a generalization of the e-property. We prove that, for any discrete-time or strongly continuous continuous-time eventually continuous Markov-Feller semigroup with an ergodic measure, if the interior of the support of the ergodic measure is nonempty, then the e-property is satisfied on the interior of the support. In particular, it implies that, restricted on the support of each ergodic measure, the e-property and the eventual continuity are equivalent for the discre…
In this article we study a class of non-Archimedean pseudodifferential operators whose symbols are negative definite functions. We prove that these operators extend to generators of Feller semigroups. In order to study these operators, we introduce a new class of anisotropic Sobolev spaces, which are the natural domains for the operators considered here. We also study the Cauchy problem for certain pseudodifferential equations.
The aim of this note is to show, by providing an elementary way to construct counter-examples, that the strong Feller and the joint (space-time) continuity for a semigroup of Markov kernels on a Polish space are not enough to ensure the existence of an associated càdlàg Markov process on the same space. One such simple counter-example is the Brownian semigroup on $\mathbb{R}$ restricted to $\mathbb{R}\setminus \{0\}$, for which it is shown that there is no associated càdlàg Markov process. Using the same idea and results from potential theory we then prove that the analogous result with càdlàg…
In this paper, we consider first order Sobolev spaces with Robin boundary condition on unbounded Lipschitz domains. Hunt processes are associated with these spaces. We prove that the semigroup of these processes are doubly Feller. As a corollary, we provide a condition for semigroups generated by these processes being compact.
We study perturbations of Feller generators under `lower order terms' with measurable coefficients. We investigate which properties of the original semigroup -- such as positivity, conservativeness and the Feller property -- are passed to the perturbed semigroup. We give several examples and discuss applications in the theory of martingale problems and stochastic differential equations with measurable coefficients.
In this paper, we consider the (upper) semigroup envelope, i.e. the least upper bound, of a given family of linear Feller semigroups. We explicitly construct the semigroup envelope and show that, under suitable assumptions, it yields viscosity solutions to abstract Hamilton-Jacobi-Bellman-type partial differential equations related to stochastic optimal control problems arising in the field of Robust Finance. We further derive conditions for the existence of a Markov process under a nonlinear expectation related to the semigroup envelope for the case where the state space is locally compact. T…
We show how Hölder estimates for Feller semigroups can be used to obtain regularity results for solutions to the Poisson equation $Af=g$ associated with the (extended) infinitesimal generator $A$ of a Feller process. The regularity of $f$ is described in terms of Hölder-Zygmund spaces of variable order and, moreover, we establish Schauder estimates. Since Hölder estimates for Feller semigroups have been intensively studied in the last years, our results apply to a wide class of Feller processes, e.g. random time changes of Lévy processes and solutions to Lévy-driven stochastic differential equ…
Chernoff approximations of Feller semigroups and the associated diffusion processes in Riemannian manifolds are studied. The manifolds are assumed to be of bounded geometry, thus including all compact manifolds and also a wide range of non-compact manifolds. Sufficient conditions are established for a class of second order elliptic operators to generate a Feller semigroup on a (generally non-compact) manifold of bounded geometry. A construction of Chernoff approximations is presented for these Feller semigroups in terms of shift operators. This provides approximations of solutions to initial v…
In $\mathbb R^d$, $d \geq 3$, consider the divergence and the non-divergence form operators \begin{equation} \tag{$i$} - \nabla \cdot a \cdot \nabla + b \cdot \nabla, \end{equation} \begin{equation} \tag{$ii$} - a \cdot \nabla^2 + b \cdot \nabla, \end{equation} where $a=I+c \mathsf{f} \otimes \mathsf{f}$, the vector fields $\nabla_i \mathsf{f}$ ($i=1,2,\dots,d$) and $b$ are form-bounded (this includes the sub-critical class $[L^d + L^\infty]^d$ as well as vector fields having critical-order singularities). We characterize quantitative dependence on $c$ and the values of the form-bounds of the …
We provide a rather explicit formula for the resolvent of a~concatenation of $N$ processes in terms of their exit laws and certain probability measures characterizing the way the processes are concatenated. As an application, we prove an averaging principle saying that by concatenating asymptotically splittable processes one can approximate Markov chains.
This work focuses on a class of stochastic damping Hamiltonian systems with state-dependent switching, where the switching process has a countably infinite state space. After establishing the existence and uniqueness of a global weak solution via the martingale approach under very mild conditions, the paper next proves the strong Feller property for regime-switching stochastic damping Hamiltonian systems by the killing technique together with some resolvent and transition probability identities. The commonly used continuity assumption for the switching rates $q_{kl}(\cdot)$ in the literature i…
We consider the stochastic differential equation $dX_t = A(X_{t-}) \, dZ_t$, $ X_0 = x$, driven by cylindrical $α$-stable process $Z_t$ in $R^d$, where $α\in (0,1)$ and $d \ge 2$. We assume that the determinant of $A(x) = (a_{ij}(x))$ is bounded away from zero, and $a_{ij}(x)$ are bounded and Lipschitz continuous. We show that for any fixed $γ\in (0,α)$ the semigroup $P_t$ of the process $X_t$ satisfies $|P_t f(x) - P_t f(y)| \le c t^{-γ/α} |x - y|^γ ||f||_\infty$ for arbitrary bounded Borel function $f$. Our approach is based on Levi's method.
We consider Markov processes that alternate continuous motions and jumps in a general locally compact polish space. Starting from a mechanistic construction, a first contribution of this article is to provide conditions on the dynamics so that the associated transition kernel forms a Feller semigroup, and to deduce the corresponding infinitesimal generator. In a second contribution, we investigate the ergodic properties in the special case where the jumps consist of births and deaths, a situation observed in several applications including epidemiology, ecology and microbiology. Based on a coup…
We prove that the operator $L_0=-(1+|x|)^β(-Δ)^{α/2}$ with $α\in(0,2)$, $d>α$ and $β\ge0$ generates a compact semigroup or resolvent on $L^2(\R^d;(1+|x|)^{-β}\,dx)$, if and only if $β>α$. When $β>α$, we obtain two-sided asymptotic estimates for high order eigenvalues, and sharp bounds for the corresponding heat kernel.
We prove that the semigroup generated by the open KPZ equation on a bounded spatial interval with Neumann boundary conditions parametrized by real parameters u and v enjoys the strong Feller property. From this we conclude that for u+v>0, min(u,v)>-1 the stationary measure constructed in Corwin and Knizel (arXiv:2103.12253) is the unique stationary measure for the equation. It is expected that the same conclusion holds for all values of u and v.
Motivated by models of signaling pathways in B lymphocytes, which have extremely large nuclei, we study the question of how reaction-diffusion equations in thin $2D$ domains may be approximated by diffusion equations in regions of smaller dimensions. In particular, we study how transmission conditions featuring in the approximating equations become integral parts of the limit master equation. We device a scheme which, by appropriate rescaling of coefficients and finding a common reference space for all Feller semigroups involved, allows deriving the form of the limit equation formally. The res…
We use analytical methods to construct the two-parameter Feller semigroup associated with a Markov process on a line with a moving membrane such that at the points on both sides of the membrane it coincides with the ordinary diffusion processes given there and its behavior after reaching the membrane is described by a kind of nonlocal Feller-Wentzell conjugation condition.