Drift transforms and Green function estimates for discontinuous processes

Abstract

In this paper, we consider Girsanov transforms of pure jump type for discontinuous Markov processes. We show that, under some quite natural conditions, the Green functions of the Girsanov transformed process are comparable to those of the original process. As an application of the general results, the drift transform of symmetric stable processes is studied in detail. In particular, we show that the relativistic α-stable process in a bounded C 1,1-smooth open set D can be obtained from symmetric α-stable process in D through a combination of a pure jump Girsanov transform and a Feynman–Kac transform. From this, we deduce that the Green functions for these two processes in D are comparable.