Markov projection of semimartingales -- application to comparison results (Q6115255)

In this article the authors ``derive generalizations of comparison results for semimartingales. (Their) results are based on Markov projections and on known comparison results for Markov processes. The first part of the paper is concerned with an alternative method for the construction of Markov projections of semimartingales.'' Compared to the paper of \textit{A. Bentata} and \textit{R. Cont} [Finance Stoch. 19, No. 3, 617--651 (2015; Zbl 1325.60115)] `which is based on the solution of a well-posed martingale problem, (the authors) make essential use of pseudo-differential operators as investigated (e.g.) in [\textit{B. Böttcher}, J. Lond. Math. Soc., II. Ser. 78, No. 3, 605--621 (2008; Zbl 1155.35115)] and of fundamental solutions of related evolution problems. This approach allows to dismiss with some boundedness assumptions on the differential characteristics in the martingale approach. As consequence of the construction of Markov projections, comparison results for path-independent functions (linked to European options in mathematical finance) of semimartingales can be reduced to the well investigated problem of comparison of Markovian semimartingales. The Markov projection approach to comparison results does not require one of the semimartingales to be Markovian, which is a common assumption in literature. An idea of \textit{G. Brunick} and \textit{S. Shreve} [Ann. Appl. Probab. 23, No. 4, 1584--1628 (2013; Zbl 1284.60109)] to mimick updated processes leads to a related reduction result to the Markovian case and thus to the comparison of related generators. As consequence, a general comparison result is also obtained for path-dependent functions of semimartingales.' The main theorems are the comparison results. However, the projection theorems have definitely some value in their own rights.