A semigroup approach to nonlinear Lévy processes
From MaRDI portal
Publication:2301490
DOI10.1016/j.spa.2019.05.009zbMath1457.60075arXiv1710.08130OpenAlexW2962851780MaRDI QIDQ2301490
Robert Denk, Michael Kupper, Max Nendel
Publication date: 24 February 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.08130
Lévy processfully nonlinear PDENisio semigroupconvex expectation spaceMarkovian convolution semigroup
Processes with independent increments; Lévy processes (60G51) Semigroups of nonlinear operators (47H20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Related Items
Viscous Hamilton-Jacobi equations in exponential Orlicz hearts ⋮ Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators ⋮ Markov chains under nonlinear expectation ⋮ Convex monotone semigroups on lattices of continuous functions ⋮ Nonlinear semigroups built on generating families and their Lipschitz sets ⋮ Non-linear affine processes with jumps ⋮ Nonlinear continuous semimartingales ⋮ Wasserstein perturbations of Markovian transition semigroups ⋮ Maximal inequalities and some applications ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation ⋮ On infinitesimal generators of sublinear Markov semigroups ⋮ On nonlinear expectations and Markov chains under model uncertainty ⋮ Convex semigroups on \(L^p\)-like spaces ⋮ Limits of random walks with distributionally robust transition probabilities ⋮ Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes ⋮ Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Measurability of semimartingale characteristics with respect to the probability law
- Wellposedness of second order backward SDEs
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Weak approximation of \(G\)-expectations
- Second-order BSDEs with jumps: formulation and uniqueness
- Semigroups of linear operators and applications to partial differential equations
- On a non-linear semi-group attached to stochastic optimal control
- Kolmogorov-type and general extension results for nonlinear expectations
- Nonlinear expectations and nonlinear Markov chains
- A short course on operator semigroups
- Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs
- Analysis in Banach Spaces
- Vector-valued Laplace Transforms and Cauchy Problems
- Semi-Groups of Measures on Lie Groups
- Lévy Processes and Stochastic Calculus
- User’s guide to viscosity solutions of second order partial differential equations
- One-Parameter Semigroups for Linear Evolution Equations
