Feller evolution systems: generators and approximation

DOI10.1142/S0219493713500251MaRDI QIDQ5170132zbMATH OpenFDO

Authors Björn Böttcher

Publication date 18 July 2014

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.0375

zbMATH Keywords

approximationevolution systemFeller processMarkov processpropagatorpseudo-differential operatorspacetime process

Mathematics Subject Classification ID

Initial value problems for PDEs with pseudodifferential operators (35S10) One-parameter semigroups and linear evolution equations (47D06) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Diffusion processes (60J60)

Abstract: A time and space inhomogeneous Markov process is a Feller evolution process, if the corresponding evolution system on the continuous functions vanishing at infinity is strongly continuous. We discuss generators of such systems and show that under mild conditions on the generators a Feller evolution can be approximated by Markov chains with L'evy increments. The result is based on the approximation of the time homogeneous space-time process corresponding to a Feller evolution process. In particular, we show that a $d$-dimensional Feller evolution corresponds to a $d+1$-dimensional Feller process. It is remarkable that, in general, this Feller process has a generator with discontinuous symbol.

Recommendations

• APPROXIMATION OF FELLER PROCESSES BY MARKOV CHAINS WITH LÉVY INCREMENTS
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Cites work

• APPROXIMATION OF FELLER PROCESSES BY MARKOV CHAINS WITH LÉVY INCREMENTS
• Construction of time-inhomogeneous Markov processes via evolution equations using pseudo-differential operators
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Cited in

(16)

• Symmetric simple exclusion process in dynamic environment: hydrodynamics
• Propagation of chaos: a review of models, methods and applications. I: Models and methods
• A stochastic \(p\)-adic model of the capillary flow in porous random medium
• Classical dynamics generated by long-range interactions for lattice fermions and quantum spins
• Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility
• APPROXIMATION OF FELLER PROCESSES BY MARKOV CHAINS WITH LÉVY INCREMENTS
• The martingale comparison method for Markov processes
• Association and other forms of positive dependence for Feller evolution systems
• Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains
• Scaling limits for the block counting process and the fixation line for a class of -coalescents
• Time-inhomogeneous polynomial processes
• On association and other forms of positive dependence for Feller processes
• Classical dynamics from self-consistency equations in quantum mechanics
• Markov projection of semimartingales -- application to comparison results
• The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
• One-sided measure theoretic elliptic operators and applications to SDEs driven by Gaussian white noise with atomic intensity

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