On Girsanov and generalized Feynman-Kac transformations for symmetric processes

被引:3
|
作者
Chen, Chuan-Zhong [1 ]
Ma, Zhi-Ming
Sun, Wei
机构
[1] Hainan Normal Univ, Dept Math, Haikou 571158, Peoples R China
[2] Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China
[3] Concordia Univ, Dept Math & Stat, Montreal, PQ H3G 1M8, Canada
基金
加拿大自然科学与工程研究理事会; 中国国家自然科学基金;
关键词
symmetric Markov process; Dirichlet form; Girsanov transformation; supermartingale; generalized Feynman-Kac semigroup; strong continuity;
D O I
10.1142/S0219025707002671
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Let X be a Markov process, which is assumed to be associated with a symmetric Dirichlet form (epsilon, D(epsilon)). For u is an element of D(epsilon)(e), the extended Dirichlet space, we have the classical Fukushima's decomposition: (u) over tilde (X-t) - (u) over tilde (X-0) = M-t(u) + N-t(u), where (u) over tilde is a quasi-continuous version of u, M-t(u) the martingale part and N-t(u) the zero energy part. In this paper, we investigate two important transformations for X, the Girsanov transform induced by M-t(u) and the generalized Feynman-Kac transform induced by N-t(u). For the Girsanov transform, we present necessary and sufficient conditions for which to induce a positive supermartingale and hence to determine another Matkov process (X) over cap. Moreover, we characterize the symmetric Dirichlet form associated with the Girsanov transformed process (X) over cap. For the generalized Feynman-Kac transform, we give a necessary and sufficient condition for the generalized Feynman-Kac semigroup to be strongly continuous.
引用
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页码:141 / 163
页数:23
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