English

On Markovian semigroups of L\'evy driven SDEs, symbols and pseudo--differential operators

Probability 2020-12-18 v2

Abstract

We analyse analytic properties of nonlocal transition semigroups associated with a class of stochastic differential equations (SDEs) in Rd\mathbb{R}^d driven by pure jump--type L\'evy processes. First, we will show under which conditions the semigroup will be analytic on the Besov space Bp,qm(Rd)B_{p,q}^ m(\mathbb{R}^d) with 1p,q<1\le p, q<\infty and mRm\in\mathbb{R}. Secondly, we present some applications by proving the strong Feller property and give weak error estimates for approximating schemes of the SDEs over the Besov space B,m(Rd)B_{\infty,\infty}^ m(\mathbb{R}^d).

Keywords

Cite

@article{arxiv.1904.09114,
  title  = {On Markovian semigroups of L\'evy driven SDEs, symbols and pseudo--differential operators},
  author = {Pani W. Fernando and K. Fahim and Erika Hausenblas},
  journal= {arXiv preprint arXiv:1904.09114},
  year   = {2020}
}