Cylindrical martingale problems associated with Lévy generators

DOI10.1007/s10959-018-0814-4zbMath1486.60094arXiv1706.06049OpenAlexW2963814355MaRDI QIDQ2312775

David Criens

Publication date: 18 July 2019

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.06049

zbMATH Keywords

stochastic partial differential equationMarkov propertymartingale problemCameron-Martin-Girsanov formulaLévy generator

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

Limit theorems for cylindrical martingale problems associated with Lévy generators ⋮ No arbitrage in continuous financial markets ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ Lyapunov criteria for the Feller-Dynkin property of martingale problems ⋮ Stochastic integration with respect to cylindrical semimartingales ⋮ Correction to: ``Cylindrical martingale problems associated with Lévy generators

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Distribution of the time to explosion for one-dimensional diffusions
• Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift
• On a class of martingale problems on Banach spaces
• Stochastic partial differential equations: an introduction
• Calcul stochastique et problèmes de martingales
• On the martingale property of certain local martingales
• Strong uniqueness for stochastic evolution equations with unbounded measurable drift term
• Martingale solutions and Markov selections for stochastic partial differential equations
• Type, cotype and Levy measures in Banach spaces
• Uniqueness and absolute continuity of weak solutions for parabolic SPDE's
• Stochastic partial differential equation driven by stable noise
• The martingale property in the context of stochastic differential equations
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Analysis in Banach Spaces
• Stochastic Integration in Banach Spaces
• Jump-diffusions in Hilbert spaces: existence, stability and numerics
• Brownian Representations of Cylindrical Local Martingales, Martingale Problem and Strong Markov Property of Weak Solutions of SPDEs in Banach Spaces
• ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I
• [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
• [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales]
• A Banach space with a symmetric basis which is of weak cotype 2 but not of cotype 2
• Stochastic Integration with Jumps
• Stochastic integration of functions with values in a Banach space
• Stochastic Equations in Infinite Dimensions
• Measure Theory
• Perturbation of strong Feller semigroups and well-posedness of semilinear stochastic equations on Banach spaces
• Stochastic Partial Differential Equations with Levy Noise
• Diffusion processes with continuous coefficients, I
• Fields, Optionality and Measurability
• Functional analysis

This page was built for publication: Cylindrical martingale problems associated with Lévy generators