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

DOI10.1007/S11118-013-9359-4zbMATH Open1296.45009arXiv1103.3492OpenAlexW2012867891MaRDI QIDQ2248984FDOQ2248984

Authors: R. Mikulevicius, Henrikas Pragarauskas 

Publication date: 27 June 2014

Published in: Potential Analysis (Search for Journal in Brave)

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.

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

Recommendations

• On the Cauchy problem for integro-differential operators in Sobolev classes and the martingale problem
• The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels
• scientific article
• scientific article; zbMATH DE number 612006
• On the uniqueness of solution to a martingale problem associated with a degenerate Lévy's operator
• The martingale problem for a class of pseudo differential operators
• scientific article; zbMATH DE number 1140123
• The existence and uniqueness of solution to Cauchy problem for functional-differential equations with respect to a semimartingale
• Existence and uniqueness of a martingale problem in \(D({{\mathbb{R}{}}_ +},{\mathcal L}')\)
• The martingale problem for pseudo-differential operators on infinite-dimensional spaces

zbMATH Keywords

martingaleCauchy problemparabolic integro-differential equationLévy processesHölder-Zygmund spaces

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Schauder estimates for a class of non-local elliptic equations
• Regularity theory for fully nonlinear integro-differential equations
• Title not available (Why is that?)
• Diffusion processes associated with L�vy generators
• Title not available (Why is that?)
• Title not available (Why is that?)
• Regularity results for stable-like operators
• Drift diffusion equations with fractional diffusion and the quasi-geostrophic equation
• Calcul stochastique et problèmes de martingales
• Properties of solutions of stochastic differential equations
• On the Cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces
• On Hölder solutions of the integro-differential Zakai equation
• On the martingale problem associated with nondegenerate Lévy operators
• On the martingale problem for generators of stable processes with perturbations
• The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels

Cited In (52)

• Interior Schauder estimates for elliptic equations associated with Lévy operators
• Schauder estimates for solutions of linear parabolic integro-differential equations
• A class of Feller semigroups generated by pseudodifferential operators
• On the Cauchy problem for integro-differential operators in Sobolev classes and the martingale problem
• Well-posedness of some non-linear stable driven SDEs
• Schauder estimates for drifted fractional operators in the supercritical case
• The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
• Dini estimates for nonlocal fully nonlinear elliptic equations
• On BMO and Hardy regularity estimates for a class of non-local elliptic equations
• Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations
• Prescribed conditions at infinity for fractional parabolic and elliptic equations with unbounded coefficients
• On Cauchy-Dirichlet problem in half-space for linear integro-differential equations in weighted Hölder spaces
• Topologically Based Fractional Diffusion and Emergent Dynamics with Short-Range Interactions
• Uniqueness in law for stable-like processes of variable order
• Global well-posedness and long-time asymptotics of a general nonlinear non-local Burgers equation
• On fully nonlinear parabolic mean field games with nonlocal and local diffusions
• The Schauder estimate for kinetic integral equations
• An \(L_p\)-theory for a class of non-local elliptic equations related to nonsymmetric measurable kernels
• Schauder estimates for an integro-differential equation with applications to a nonlocal Burgers equation
• Schauder estimates for nonlocal fully nonlinear equations
• Regularity estimates and open problems in kinetic equations
• An \(L_p\)-Lipschitz theory for parabolic equations with time measurable pseudo-differential operators
• Uniqueness in weighted Lebesgue spaces for a class of fractional parabolic and elliptic equations
• Heat kernel estimates for stable-driven SDEs with distributional drift
• On Schauder estimates for a class of nonlocal fully nonlinear parabolic equations
• Dini and Schauder estimates for nonlocal fully nonlinear parabolic equations with drifts
• Global well-posedness of a non-local Burgers equation: the periodic case
• On some smoothening effects of the transition semigroup of a Lévy process
• On the Cauchy problem for nondegenerate parabolic integro-differential equations in the scale of generalized Hölder spaces
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Nonlocal elliptic equation in Hölder space and the martingale problem
• Regularity for the Boltzmann equation conditional to macroscopic bounds
• On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
• Model problem for integro-differential Zakai equation with discontinuous observation processes
• Construction and heat kernel estimates of generalstable-like Markov processes
• Boundedness of non-local operators with spatially dependent coefficients and \(L_p\)-estimates for non-local equations
• On multidimensional stable-driven stochastic differential equations with Besov drift
• Regularity for a special case of two-phase Hele-Shaw flow via parabolic integro-differential equations
• Schauder estimates for degenerate stable Kolmogorov equations
• Title not available (Why is that?)
• Hölder continuous solutions for integro-differential equations and maximal regularity
• Strong regularization by Brownian noise propagating through a weak Hörmander structure
• A Hölder regularity theory for a class of non-local elliptic equations related to subordinate Brownian motions
• Singular SDEs with critical non-local and non-symmetric Lévy type generator
• Cauchy problem for a fractional anisotropic parabolic equation in anisotropic Hölder spaces
• Feller generators with measurable lower order terms
• Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
• Weak well-posedness of multidimensional stable driven SDEs in the critical case
• On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise
• Heat kernel of supercritical nonlocal operators with unbounded drifts

This page was built for publication: On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2248984)