On infinitesimal generators of sublinear Markov semigroups (Q2231238)

Let \(\mathcal{B}_b(\mathbb{R}^d)\) be the space of all Borel measurable functions and let \(T_t\colon \mathcal{B}_b(\mathbb{R}^d)\rightarrow \mathcal{B}_b(\mathbb{R}^d)\), \(0\leq t<+\infty\), be a Markov semigroup, that is: \begin{itemize} \item[{(i)}] \(T_{t+s} = T_tT_s\) for all \(s, t \geq 0\), and \(T_0 = I\), \item[{(ii)}] \(f,g\in \mathcal{B}_b(\mathbb{R}^d)\), \(f \leq g\) implies \(T_tf \leq T_tg\) for all \(t\geq 0\), \item[{(iii)}] \(T_t(1_{\mathbb{R}^d} ) \leq 1_{\mathbb{R}^d}\), \end{itemize} of sublinear, that is, subadditive and positively homogeneous, operators. There are established a Dynkin formula and a Courreǵe-von Waldenfels theorem for sublinear Markov semigroups. It is shown that that any sublinear operator A on \(C_c^\infty(\mathbb{R}^d)\) satisfying the positive maximum principle can be represented as supremum of a family of pseudo-differential operators \(A f (x) = \sup_{\alpha\in I}(-q\alpha(x, D) f )(x)\). As a consequence, there is obtained a representation formula for infinitesimal generators of sublinear Markov semigroups with a sufficiently rich domain and applications in the theory of non-linear Hamilton-Jacobi-Bellman equations and Lévy processes for sublinear expectations.