Diffusion processes with non-smooth diffusion coefficients and their density functions
Terry Lyons, Wan Zheng · Proceedings of the Royal Society of Edinburgh Section A Mathematics · 1990
Synopsis Denote by Xt an n-dimensional symmetric Markov process associated with an elliptic operator where (aij) is a bounded measurable uniformly positive definite matrix-valued function of x. Let f(x, t) be a measurable function defined on Rn × [0, 1]. In this paper, we prove that f(Xt, t) is a regular Dirichlet process if and only if the following two conditions are satisfied: (i) For almost every and (ii) Let be a sequence of subdivisions of [0,1] so that Then As an application of the above result, we prove the following fact: Let p(y, t) be the probability density of the diffusion process Yt, associated with the elliptic operator where (bi) are bounded measurable functions of x and we suppose that . Then, p(Yt, t) is a regular Dirichlet process and therefore p(.,.) satisfies (i) and (ii).