On characterisation of Markov processes via martingale problems

DOI10.1007/BF02829741MaRDI QIDQ2493465zbMATH OpenOpenAlexFDO

Authors B. V. Rao, Abhay G. Bhatt, Rajeeva L. Karandikar

Publication date 14 June 2006

Published in Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0607613

zbMATH Keywords

invariant measure

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Transition functions, generators and resolvents (60J35)

Abstract: It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale problem is well-posed in the class of solutions which are continuous in probability. This extension is used to improve on a criterion for a probability measure to be invariant for the semigroup associated with the Markov process. We also give examples of martingale problems that are well-posed in the class of solutions which are continuous in probability but for which no r.c.l.l. solution exists.

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(13)

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