Let (left(U_{alpha}ight)_{alpha>0}) be the (alpha)-potential operator of a (mathrm{BM}^{d}). Use the resolvent equation to prove the following
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Let \(\left(U_{\alpha}ight)_{\alpha>0}\) be the \(\alpha\)-potential operator of a \(\mathrm{BM}^{d}\). Use the resolvent equation to prove the following formulae for \(f \in \mathcal{B}_{b}\) and \(x \in \mathbb{R}^{d}\) :
\[\frac{d^{n}}{d \alpha^{n}} U_{\alpha} f(x)=n !(-1)^{n} U_{\alpha}^{n+1} f(x)\]
and
\[\frac{d^{n}}{d \alpha^{n}}\left(\alpha U_{\alpha}ight) f(x)=n !(-1)^{n+1}\left(\mathrm{id}-\alpha U_{\alpha}ight) U_{\alpha}^{n} f(x)\]
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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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