A class of multidimensional nonlinear diffusions with the Feller property

DOI10.1016/J.SPL.2024.110057MaRDI QIDQ6400662zbMATH OpenOpenAlexWikidataFDO

Authors David Criens, Lars Niemann

Publication date 31 May 2022

Full work available at URL https://doi.org/10.1016/j.spl.2024.110057

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Feller processes (60G53) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Diffusion processes (60J60)

Abstract: In this note we consider a family of nonlinear (conditional) expectations that can be understood as a multidimensional diffusion with uncertain drift and certain volatility. Here, the drift is prescribed by a set-valued function that depends on time and path in a Markovian way. We establish the Feller property for the associated sublinear Markovian semigroup and we observe a smoothing effect as our framework carries enough randomness. Furthermore, we link the corresponding value function to a semilinear Kolmogorov equation.

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