On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem

DOI10.1007/S11118-013-9359-4MaRDI QIDQ2248984zbMATHOpenAlexFDO

Authors R. Mikulevicius, Henrikas Pragarauskas

Publication date 27 June 2014

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.3492

zbMATH Keywords

martingaleCauchy problemparabolic integro-differential equationLévy processesHölder-Zygmund spaces

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Martingales and classical analysis (60G46)

Abstract: The existence and uniqueness in H"older spaces of solutions of the Cauchy problem to parabolic integro-differential equation of the order {alpha}in(0,2) is investigated. The principal part of the operator has kernel m(t,x,y)/|y|^{d+{alpha}} with a bounded nondegenerate m, H"older in x and measurable in y. The result is applied to prove the uniqueness of the corresponding martingale problem.

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