On characterisation of Markov processes via martingale problems

Martingales with continuous parameter (60G44) Continuous-time Markov processes on general state spaces (60J25) 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.

Review text

The authors show that the well-posedness of a martingale problem in the class of stochastically continuous processes already allows to construct an associated transition probability function. This is then used to improve on a criterion for a probability measure to be invariant for the semigroup associated with the Markov processes constructed via the martingale problem. At the end of the paper two examples are given which are well-posed solutions to the martingale problem in the class of solutions which are continuous in probability but for which no càdlàg (right continuous with finite left limits) solution exists.

Recommendations

Cites work

Cited in

(13)

This page was built for publication: On characterisation of Markov processes via martingale problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2493465)