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Conservativeness of diffusion processes with drift
被引:2
|作者:
Kuwae, K
[1
]
机构:
[1] Yokohama City Univ, Dept Math Sci, Yokohama, Kanagawa 2360027, Japan
关键词:
semi-Dirichlet form;
Dirichlet form;
diffusion process;
Kato class function;
Hardy class function;
Sobolev inequality;
Novikov's condition;
supermartingale;
exponential martingale;
conservativeness;
Girsanov transformation;
D O I:
10.1090/S0002-9939-04-07283-1
中图分类号:
O29 [应用数学];
学科分类号:
070104 ;
摘要:
We show the conservativeness of the Girsanov transformed diffusion process by drift b is an element of L-p(R-d --> R-d) with p greater than or equal to 4/(2- root2delta(\b\(2))/lambda) or p > 4d=(d+ 2), or p = 2 if \b\(2) is of the Hardy class with sufficiently small coefficient of energy delta(\b\(2)) < λ/2. Here λ > 0 is the lower bound of the symmetric measurable matrix-valued function a(x) := (a(i;) j (x))(i; j) appearing in the given Dirichlet form. In particular, our result improves the conservativeness of the transformed process by b is an element of L-d(R-d --> R-d) when d greater than or equal to 3.
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页码:2743 / 2751
页数:9
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