A semigroup approach to nonlinear Lévy processes
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Publication:2301490
DOI10.1016/J.SPA.2019.05.009zbMATH Open1457.60075arXiv1710.08130OpenAlexW2962851780MaRDI QIDQ2301490FDOQ2301490
Authors: R. Denk, Michael Kupper, Max Nendel 
Publication date: 24 February 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We study the relation between L'evy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear L'evy processes and nonlinear Markovian convolution semigroups. Second, we provide a condition on a family of infinitesimal generators of linear L'evy processes which guarantees the existence of a nonlinear L'evy processes such that the corresponding nonlinear Markovian convolution semigroup is a viscosity solution of the fully nonlinear PDE . The results are illustrated with several examples.
Full work available at URL: https://arxiv.org/abs/1710.08130
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Cited In (33)
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- Nonlinear continuous semimartingales
- A generalized stochastic process: fractional \(G\)-Brownian motion
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