Smoothness of harmonic functions for processes with jumps

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.

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Year of publication:	2000
Authors:	Picard, Jean ; Savona, Catherine
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 87.2000, 1, p. 69-91
Publisher:	Elsevier
Keywords:	Harmonic functions Diffusions with jumps Excessive measures Malliavin calculus

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872986