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On dual processes of non-symmetric diffusions with measure-valued drifts

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  • Kim, Panki
  • Song, Renming

Abstract

For [mu]=([mu]1,...,[mu]d) with each [mu]i being a signed measure on belonging to the Kato class , a diffusion with drift [mu] is a diffusion process in whose generator can be formally written as L+[mu][dot operator][backward difference] where L is a uniformly elliptic differential operator. When each [mu]i is given by for some function Ui, a diffusion with drift [mu] is a diffusion in with generator L+U[dot operator][backward difference]. In [P. Kim, R. Song, Two-sided estimates on the density of Brownian motion with singular drift, Illinois J. Math. 50 (2006) 635-688; P. Kim, R. Song, Boundary Harnack principle for Brownian motions with measure-valued drifts in bounded Lipschitz domains, Math. Ann., 339 (1) (2007) 135-174], we have already studied properties of diffusions with measure-valued drifts in bounded domains. In this paper we first show that the killed diffusion process with measure-valued drift in any bounded domain has a dual process with respect to a certain reference measure. We then discuss the potential theory of the dual process and Schrodinger-type operators of a diffusion with measure-valued drift. More precisely, we prove that (1) for any bounded domain, a scale invariant Harnack inequality is true for the dual process; (2) if the domain is bounded C1,1, the boundary Harnack principle for the dual process is valid and the (minimal) Martin boundary for the dual process can be identified with the Euclidean boundary; and (3) the harmonic measure for the dual process is locally comparable to that of the h-conditioned Brownian motion with h being an eigenfunction corresponding to the largest Dirichlet eigenvalue in the domain. The Schrodinger operator that we consider can be formally written as L+[mu][dot operator][backward difference]+[nu] where L is uniformly elliptic, [mu] is a vector-valued signed measure on and [nu] is a signed measure in . We show that, for a bounded Lipschitz domain and under the gaugeability assumption, the (minimal) Martin boundary for the Schrodinger operator obtained from the diffusion with measure-valued drift can be identified with the Euclidean boundary.

Suggested Citation

  • Kim, Panki & Song, Renming, 2008. "On dual processes of non-symmetric diffusions with measure-valued drifts," Stochastic Processes and their Applications, Elsevier, vol. 118(5), pages 790-817, May.
  • Handle: RePEc:eee:spapps:v:118:y:2008:i:5:p:790-817
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    Cited by:

    1. Peng Jin, 2017. "Brownian Motion with Singular Time-Dependent Drift," Journal of Theoretical Probability, Springer, vol. 30(4), pages 1499-1538, December.

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