Markov selections and Feller properties of nonlinear diffusions

DOI10.1016/J.SPA.2024.104354MaRDI QIDQ6400582zbMATH OpenOpenAlexFDO

Authors David Criens, Lars Niemann

Publication date 30 May 2022

Full work available at URL https://doi.org/10.1016/j.spa.2024.104354

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Feller processes (60G53) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Diffusion processes (60J60)

Abstract: In this paper we study a family of nonlinear (conditional) expectations that can be understood as a diffusion with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path in a Markovian way. We establish its Feller properties and examine how to linearize the associated sublinear Markovian semigroup. In particular, we observe a novel smoothing effect of nonlinear semigroups in frameworks which carry enough randomness. Furthermore, we link the value function corresponding to the semigroup to a nonlinear Kolmogorov equation.

Cited in

(4)

• Affine models with path-dependence under parameter uncertainty and their application in finance
• Nonlinear semimartingales and Markov processes with jumps
• A stochastic representation theorem for sublinear semigroups with non-local generators
• Robust market convergence: from discrete to continuous time

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