Smoothness of harmonic functions for processes with jumps

Jean Picard and Catherine Savona

Stochastic Processes and their Applications, 2000, vol. 87, issue 1, 69-91

Abstract: We consider a non-local operator L associated to a Markov process with jumps, we stop this process when it quits a domain D, and we study the Cj smoothness on D of the functions which are harmonic for the stopped process. A previous work was devoted to the existence of a C[infinity] transition density; here, the smoothness of harmonic functions is deduced by applying a duality method and by estimating the density in small time.

Keywords: Harmonic; functions; Diffusions; with; jumps; Excessive; measures; Malliavin; calculus (search for similar items in EconPapers)
Date: 2000
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