HEAT KERNELS AND ANALYTICITY OF NON-SYMMETRIC JUMP DIFFUSION.pdf

HEAT KERNELS AND ANALYTICITY OF NON-SYMMETRIC JUMP DIFFUSION SEMIGROUPS ZHEN-QING CHEN AND XICHENG ZHANG ´ A. Let d 1 and (0 2). Consider the following non-local and non-symmetric Levy- d type operator on : f (x) : p.v. (f (x z) f (x)) (x z) dz d d z where 0 (x z) , (x z) (x z), and (x z) (y z) x y for some 0 1 2 (0 1). Using Levi’s method, we construct the fundamental solution (also called heat kernel) p (t x y) of , and establish its sharp two-sided estimates as well as its fractional derivative ¨ and gradient estimates. We also show that p (t x y) is jointly Holder continuous in (t x). The lower bound heat kernel estimate is obtained by using a probabilistic argument. The fundamen- d d ´ tal solution of gives rise a Feller process X x on . We determine the Levy x 2 d system of X and show that x solves the martingale problem for ( C ( )).