Let (left(P_{t}ight)_{t geqslant 0}) and (left(T_{t}ight)_{t geqslant 0}) be two Feller semigroups with generators ((A, mathfrak{D}(A))), resp.
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Let \(\left(P_{t}ight)_{t \geqslant 0}\) and \(\left(T_{t}ight)_{t \geqslant 0}\) be two Feller semigroups with generators \((A, \mathfrak{D}(A))\), resp. \((B, \mathfrak{D}(B))\).
a) If \(\mathfrak{D}(B) \subset \mathfrak{D}(A)\), then we have \(\frac{d}{d s} P_{t-s} T_{s}=-P_{t-s} A T_{s}+P_{t-s} B T_{s}\) on \(\mathfrak{D}(B)\).
b) Is it possible that \(U_{t}:=T_{t} P_{t}\) is again a Feller semigroup?
c) Assume that \(U_{t} f:=\lim _{n ightarrow \infty}\left(T_{t / n} P_{t / n}ight)^{n} f\) exists strongly and locally uniformly for \(t\). Show that \(U_{t}\) is a Feller semigroup and determine its generator.
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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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