Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators (Q2184574): Difference between revisions

A Lévy-type operator is defined on the smooth functions with compact support \(C_c^{\infty}(\mathbb{R}^d)\) and has a representation of the form \begin{multline*} Af(x)=b(x)\cdot \nabla f(x)+\frac{1}{2}\operatorname{tr}(Q(x)\cdot \nabla^2f(x))\\ +\int_{\mathbb{R}^d\backslash \{0\}}\left(f(x+y)-f(x)-\nabla f(x)\cdot y\ \mathbf{1}_{(0,1)}(|y|)\right)\nu(x,dy), \end{multline*} where \((b(x),Q(x),\nu(x,dy))\) is for each fixed \(x\in \mathbb{R}^d\) a Lévy triplet. Equivalently, \(A\) can be written as a pseudo-differential operator \[ Af(x)=-\int_{\mathbb{R}^d}e^{ix\cdot \xi}q(x,\xi)\hat{f}(\xi)d\xi \] with symbol \(q\), \[ q(x,\xi):=-ib(x)\cdot \xi+\frac{1}{2}\xi\cdot Q(x)\xi+\int_{\mathbb{R}^d\backslash\{0\}}\left(1-e^{iy\cdot \xi}+iy\cdot \xi\ \mathbf{1}_{(0,1)}(|y|)\right)\nu(x,dy). \] The paper under review studies the existence of (Markovian) solutions to the \((A,C_c^{\infty}(\mathbb{R}^d))\)-martingales problem associated with the Lévy-type operator \(A\) with symbol \(q(x,\xi)\). The contributions contain two parts. The first part is the existence result which allows for discontinuity in \(x\mapsto q(x,\xi)\), with applications to the existence of weak solutions to a class of Lévy-driven SDEs with Borel measurable coefficients and on the existence of stable-like processes with discontinuous coefficients. The second part is a Markovian selection theorem which shows that -- under mild assumptions -- the \((A,C_c^{\infty}(\mathbb{R}^d))\)-martingales problem gives rise to a strong Markov process. Some applications were given, one of which is to build a Harnack inequality for non-local operators of variable order.