On characterisation of Markov processes via martingale problems (Q2493465)

The authors show that the well-posedness of a martingale problem in the class of stochastically continuous processes already allows to construct an associated transition probability function. This is then used to improve on a criterion for a probability measure to be invariant for the semigroup associated with the Markov processes constructed via the martingale problem. At the end of the paper two examples are given which are well-posed solutions to the martingale problem in the class of solutions which are continuous in probability but for which no càdlàg (right continuous with finite left limits) solution exists.