On the Cauchy problem for integro-differential operators in Sobolev classes and the martingale problem (Q2438819)

The paper deals with the Cauchy problem \[ \partial_t u(t,\, x) = Lu(t,\,x) + f(t,\,x),\;\;\;(t,\, x) \in [0,\,T]\times {\mathbb R}^d;\;\;\;\;\; u(0,\,x) = 0, \] in fractional Sobolev spaces, where \(L=A+B\) is an integro-differential operator with variable coefficients of order \(\alpha \in (0,\, 2)\). The principal part of the operator, \(A\), has kernel \(\displaystyle \frac{m(t,\,x,\,y)}{|y|^{d+\alpha}}\), with a bounded nondegenerate \(m\), which is Hölder continuous in \(x\) and measurable in \(y\). In this paper, the kernel \(m\) is not necessarily smooth or homogeneous in \(y\). The operator \(B\) is a lower order operator having bounded and measurable coefficients. The authors prove the existence and uniqueness of the corresponding martingale problem.