No label defined (Q4270735)

The aim of this paper is to give a characterization of the symmetric stable process in the case of \(\alpha\in (0,2)\). It is proved that this process is a solution to some martingale problem. Let \(G(t,x,y)\) for \(t>0,\) \(x,y\in R\) be defined as \[ G(t,x,y)=g(t,x,y)+q \text{ sign }y\;g(t,-|x|,|y|), \] where \(q\) is a real parameter and \(g(t,x,y)\) is transition probability density of a symmetric stable process with an exponent \(\alpha\in (0,2)\). For each \(q\in [-1,1],\) there exists a Markov process on \(R\) with the function \(G(t,x,y)\) as its transition probability density. In the case of \(\alpha =2\) this process is known as skew Brownian motion and can be characterized as a solution to some stochastic differential equation. In the case \(0<\alpha <2\) the characterization of this process as a solution to some martingale problem is given.