Cylindrical martingale problems associated with Lévy generators (Q2312775)

Let \(\mathbb B\) be a separable reflexive Banach space, define \(\mathbb B_\Delta=\mathbb B\dot\cup\{\Delta\}\) and denote by \(S^+(\mathbb B^*,\mathbb B)\) the space of linear continuous non-negative symmetric operators from \(\mathbb B^*\) to \(\mathbb B\). Denote by \(\Omega\) the canonical space of càdlàg functions \(\alpha:[0,\infty)\to\mathbb B_\Delta\) that remain in \(\Delta\) once \(\Delta\) is attained or approached, i.e., \(\alpha(s)=\Delta\) for every \(s\ge t\) provided that \(\alpha(t)\) or \(\alpha(t-)\) equals to \(\Delta\), denote by \((\mathcal F_t)\) the canonical filtration on \(\Omega\), by \(\tau_\Delta\) the first hitting time of \(\Delta\) and let \(\tau_n\nearrow\tau_\Delta\) be an announcing sequence of stopping times for \(\tau_\Delta\). Let \(A\) be a linear closed and densely defined operator on \(\mathbb B\), \(b:\mathbb B\to\mathbb B\) a Borel measurable mapping bounded on bounded sets, \(a:\mathbb B\to S^+(\mathbb B^*,\mathbb B)\) a weakly measurable mapping bounded on bounded sets, \(K\) a transition kernel on \(\mathbb B\) such that \(K_x(\{0\})=0\) for every \(x\in\mathbb B\) and \[ \sup_{x\in B(r)}\left[K_x(\mathbb B\setminus B(\varepsilon))+\int_{B(\varepsilon)}|\varphi|^2\,dK_x\right]<\infty,\qquad\text{ for all }\varphi\in\mathbb B^*,\quad\text{ for all } \varepsilon,r\in(0,\infty), \] let \(h:\mathbb B\to\mathbb B\) be a fixed bounded measurable function such that \(h(x)=x\) around the origin and define \(h^\prime(x)=x-h(x)\). Define an operator \[ \mathcal Kf(x)=\langle\nabla f(x),Ax+b(x)\rangle+\frac{1}{2}\operatorname{Tr}[a(x)\nabla^2f(x)]+\int_{\mathbb B}\left[f(x+y)-f(y)-\langle\nabla f(x),h(y)\rangle\right]\,dK_x. \] The local martingale problem on \(\Omega\) (i.e., explosions are admitted) associated to the operator \(\mathcal K\) is said to be well-posed provided that, if amended by the initial condition \(x\in\mathbb B_\Delta\), it has a unique solution \(P^x\) on \(\Omega\) for every \(x\in\mathbb B_\Delta\). In that case, it is proved that the mapping \(x\mapsto P^x\) is Borel measurable on \(\mathbb B_\Delta\), \[ P^\eta=\int_{\mathbb B}P^x\,d\eta \] is the unique solution of the local martingale problem on \(\Omega\) with the initial condition \(\eta\) for every Borel law \(\eta\) on \(\mathbb B_\Delta\) and \((P^\eta)_\eta\) is a strong Markov family. Next, let \(c:\mathbb B\to\mathbb B^*\) and \(Y:\mathbb B\times\mathbb B\to(0,\infty)\) be Borel measurable, let them satisfy several additional boundedness and integrability conditions and define \(A^\prime=A\), \(a^\prime=A\), \[ b^\prime(x)=b(x)+a(x)c(x)+\int_{\mathbb B}h(y)(Y(x,y)-1)\,dK_x,\qquad K^\prime_x=Y(x,\cdot)K_x \] and define the operator \(\mathcal K^\prime\) as above for \((A^\prime,b^\prime,a^\prime,K^\prime)\). It is proved that if the local martingale problem associated to the operator \(\mathcal K^\prime\) is well-posed, \(P\) and \(Q\) are solutions on \(\Omega\) of the local martingale problem associated to the operator \(\mathcal K\), resp. \(\mathcal K^\prime\) with the same initial condition \(\eta\) such that \(\eta(\mathbb B)=1\) then there exists a non-negative local \((\mathcal F_{t_+},P)\)-martingale \(Z^*\) on \(\Omega\) starting at \(1\) such that \[ Q(G\cap\{\tau_\Delta>\rho\})=\mathbb E^P\left[Z^*_\rho\mathbf 1_{G\cap\{\tau_\Delta>\rho\}}\right] \] holds for all \((\mathcal F_t)\)-stopping times \(\rho\) and all \(G\in\mathcal F_\rho\). The third result states the following. Let \(\eta\) be a Borel law on \(\mathbb B\). If the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K\) is well-posed then uniqueness holds for the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K^\prime\) with the initial condition \(\eta\). And conversely, if the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K^\prime\) is well-posed then uniqueness holds for the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K\) with the initial condition \(\eta\). The fourth result asserts that if the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K\) is well-posed and its solutions with deterministic initial conditions are global then the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K^\prime\) with the initial condition \(x\in\mathbb B\) has a solution (denoted by \(Q^n_x\)) up to the stopping time \(\tau_n\). Moreover \(Q^n_x(\tau_n\le t)\to 0\) as \(n\to\infty\) for every \(t\ge 0\) and \(x\in\mathbb B\) if and only if the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K^\prime\) has a unique global solution for every initial law on \(\mathbb B\). In case when \(\langle ac,c\rangle\) and \(\int(1-\sqrt Y_x)^2\,dK_x\) are uniformly bounded on \(\mathbb B\) then the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K\) has unique global solutions for deterministic initial conditions if and only if the same holds for the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K^\prime\). The fifth result claims the following. Let the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K^\prime\) be well-posed, let \(\eta\) be a Borel law on \(\mathbb B\), let \(P\) and \(Q\) be solutions of the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K\), resp. \(\mathcal K^\prime\) with the initial condition \(\eta\). If \(P\) is a global solution then \(Q\) is global if and only if \(P|_{\mathcal F_t}\) and \(Q|_{\mathcal F_t}\) are equivalent for every \(t\ge 0\). If \(Q\) is a global solution then \(Q|_{\mathcal F_t}\) is absolutely continuous with respect to \(P|_{\mathcal F_t}\) for every \(t\ge 0\). Finally, the one-to-one correspondence between solutions of local martingale problems and solutions of SPDEs is proved. More precisely, let \(\mathbb H\) be a separable Hilbert space, let \(E\) be a Lusin space equipped with the Borel \(\sigma\)-algebra, let \(U\in S^+(\mathbb H,\mathbb H)\), let \(F\) be a \(\sigma\)-finite Borel measure on \(E\), define \(p=dt\otimes F\), let \(\sigma:\mathbb B\to L(\mathbb H,\mathbb B)\) be strongly measurable and bounded on bounded sets, let \(\delta:\mathbb B\times E\to\mathbb B\) be Borel measurable such that \[ \sup_{x\in B(r)}\left[F(\{y:\,\|\delta(x,y)\|\ge\varepsilon\})+\int_{\{\|\delta(x,\cdot)\|\le\varepsilon\}}|\langle\delta(x,\cdot),\varphi\rangle|^2\,dF\right]<\infty \] for every \(\varphi\in\mathbb B^*\) and \(\varepsilon,r\in(0,\infty)\), and define \[ K(x,G)=F(\{\delta(x,\cdot)\in G\})\quad\text{and}\quad a=\sigma U\sigma^*. \] Then the law of a martingale solution of the stochastic partial differential equation \[ \begin{aligned} &du=(Au(t-)+b(u(t-)))\,dt+\sigma(u(t-))\,dW_t+h(\delta(\cdot,u(t-)))\star(\mu-p)+h^\prime(\delta(\cdot,u(t-)))\star\mu \\ &u(0)\overset{\text{law}}{=}\eta, \end{aligned} \] where \(\eta\) is a Borel law on \(\mathbb B\), \(W\) is a cylindrical Wiener process with the covariance \(U\) and \(\mu\) is a homogeneous Poisson random measure with the intensity measure \(p\) is a solution of the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K=\mathcal K(A,b,a,K)\) with the initial condition \(\eta\) and, conversely, if \(P\) is a solution of the local martingale problem on \(\Omega\) associated to the operator \(\mathcal K\) with the initial condition \(\eta\) then there exists a martingale solution of the above stochastic partial differential equation with the law \(P\) on \(\Omega\).