The Lévy-Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups (Q644790)

The author extends K. Itô's construction of Markovian solutions to stochastic equations driven by Lévy noise to nonlinear distribution dependent integrands. His aim is the effective construction of linear and nonlinear Markov semigroups and corresponding processes with a given pseudo-differential generator. It is shown that a conditionally positive integro-differential operator (of Lévy-Khintchine type) with variable coefficients (diffusion, drift and Lévy measure) depending in a Lipschitz continuous way on its parameters (position and/or its distribution) generates a linear or nonlinear Markov semigroup. The measures are metrizable by the Wasserstein-Kantorovich metrics. The results, which are far from being trivial, are a natural extension of a long known fact for ordinary diffusions to general Markov processes. The idea is, roughly speaking, to approximate a process with a given (pre-)generator by piece-wise Lévy paths. Possible applications include certain kinds of kinetic equations. A collection of useful results on the coupling of Lévy processes complete the paper.