The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels (Q1043682)

Let \[ Lu(x)=\int_{\mathbb R^n} [u(x+y)-u(x)-1_{[1,2]}(\alpha)1_{|y|\leq 2} y \cdot \nabla u(x)] k(x,y)\,dy, \] where \(k(x,y)\asymp |y|^{-n-\alpha}\), \(\alpha\in (0,2)\), for small \(y\), and \(k\) is Hölder continuous in \(x\). Denote by \({\mathcal C}^s(\mathbb R^n)\) the Hölder-Zygmund space, \({\mathcal C}_0^s(\mathbb R^n):=\overline{C_0^\infty(\mathbb R^n)}^{\|\cdot\|_{{\mathcal C}^s}}\), and denote by \(C^s(\mathbb R^n)\) the space of uniformly bounded Hölder continuous functions of order \(s\), with uniformly bounded constant. The main result of the paper under review states that, under some suitable conditions on \(k\), the Cauchy problem \[ \begin{cases} \partial_t u-Lu =f &\text{in \((0,T)\times\mathbb R^n\)}, \\ u(0,\cdot)=0&\text{in \(\mathbb R^n\)}, \end{cases} \] is uniquely solvable for any \(f\in C^\theta ([0,T]; {\mathcal C}_0^s (\mathbb R^n))\), \(f(0)=0\), \(0<\theta<1\), and \[ u\in C^{1,\theta} ([0,T]; {\mathcal C}_0^s (\mathbb R^n))\cap C^\theta ([0,T]; {\mathcal C}_0^{s+\alpha} (\mathbb R^n)). \] As corollary of the main result, the well-posedness of the martingale problem for \((L,C_0^\infty(\mathbb R^n))\) is proved.