A semigroup approach to nonlinear Lévy processes
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Publication:2301490
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.
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(33)- Non-linear affine processes with jumps
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