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.
引用
收藏
页码:2743 / 2751
页数:9
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