Uniqueness in law for pure jump Markov processes (Q1115021): Difference between revisions

Define the operator A by \[ Af(x)=\int (f(x+h)-f(x)-f'(x)h 1_{([- 1,1])}(h))v(x,dh),\quad f\in C^ 2, \] where the kernel v is given. The author provides sufficient conditions for the existence and uniqueness of a solution, with respect to the probability P, to the following martingale problem: 1) \(P(X_ 0=x_ 0)=1\) and 2) for all \(f\in C^ 2\), \(f(X_ t)-f(X_ 0)-\int^{t}_{0}Af(X_ s)ds\) is a P-local martingale, where \(X_ t\) is a canonical coordinate process and \(x_ 0\in R.\) The conditions are mild regularity of v, continuity of v for existence and an integral condition to be replaced by Dini-continuity for uniqueness. The author also points out that the method provided here can be extended to pure jump processes in \(R^ d\) with \(d>1\) and to those with drift terms.