Proof of existence theorems for the two-parameter martingale problem (Q1921775): Difference between revisions

Following \textit{D. W. Stroock} and \textit{S. R. S. Varadhan} [Commun. Pure Appl. Math. 22, 345--400 (1969; Zbl 0167.43903)], the author considers existence theorems for two-parameter martingale problem. Briefly, the measure \(P\) is called a solution of martingale problem for \((z_0,x_0,a,b)\) if \(P\{x(z,\cdot)=x_0(z)\), \(z\in\partial I_{z_0}\}=1\), \(E^P\{X^z_\lambda(z')/\mathbb{L}^{z_0}_z\}=1\), where \(X^z_\lambda(z')\) is the exponential martingale, \[ X^z_\lambda(z')=\exp\Biggl\{\langle\lambda,x(z,z']\rangle-\Biggl\langle\lambda, \int_{(z,z']}b(u,\cdot) du\Biggr\rangle- {1\over 2} \int_{(z,z']}\langle\lambda, a(u,\cdot) \lambda\rangle du\Biggr\}, \] \(z_0\leq z\leq z',\) \(\partial I_{z_0}=\{s_0\}\times[t_0,\infty)\cup[s_0,\infty)\times\{t_0\}\). The main result is: if \(a(z,\omega)=\widetilde A(z,x(z,\omega))\), \(b(z,\omega)=\widetilde B(z,x(z,\omega))\), where \(\widetilde A:[z_0,\infty)\times\mathbb{R}^d\to\mathbb{R}^d\otimes\mathbb{R}^d\) is continuous symmetric elliptic function, \(0\leq\langle\widetilde A\lambda,\lambda\rangle\leq A|\lambda|^2\), \(\lambda\in\mathbb{R}^d\), \(\widetilde B:[z_0,\infty)\times\mathbb{R}^d\to\mathbb{R}^d\) is measurable bounded function, then the solution of martingale problem exists for \((z_0,x_0,a,b)\).