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Estimates on the Transition Densities of Girsanov Transforms of Symmetric Stable Processes

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  • Renming Song

    (University of Illinois)

Abstract

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.

Suggested Citation

  • Renming Song, 2006. "Estimates on the Transition Densities of Girsanov Transforms of Symmetric Stable Processes," Journal of Theoretical Probability, Springer, vol. 19(2), pages 487-507, June.
    • Handle: RePEc:spr:jotpro:v:19:y:2006:i:2:d:10.1007_s10959-006-0023-4
    DOI: 10.1007/s10959-006-0023-4
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    References listed on IDEAS

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    1. Chen, Zhen-Qing & Kumagai, Takashi, 2003. "Heat kernel estimates for stable-like processes on d-sets," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 27-62, November.
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    Cited by:

    1. Xin Chen & Jian Wang, 2017. "Weighted Poincaré Inequalities for Non-local Dirichlet Forms," Journal of Theoretical Probability, Springer, vol. 30(2), pages 452-489, June.

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