Probability measure-valued polynomial diffusions

DOI10.1214/19-EJP290zbMATH Open1467.60062arXiv1807.03229OpenAlexW2962774159MaRDI QIDQ2631856FDOQ2631856

Authors: Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro 

Publication date: 16 May 2019

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

Abstract: We introduce a class of probability measure-valued diffusions, coined polynomial, of which the well-known Fleming--Viot process is a particular example. The defining property of finite dimensional polynomial processes considered by Cuchiero et al. (2012) and Filipovic and Larsson (2016) is transferred to this infinite dimensional setting. This leads to a representation of conditional marginal moments via a finite dimensional linear PDE, whose spatial dimension corresponds to the degree of the moment. As a result, the tractability of finite dimensional polynomial processes are preserved in this setting. We also obtain a representation of the corresponding extended generators, and prove well-posedness of the associated martingale problems. In particular, uniqueness is obtained from the duality relationship with the PDEs mentioned above.

Full work available at URL: https://arxiv.org/abs/1807.03229

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zbMATH Keywords

maximum principleinteracting particle systemsmartingale problemdual processpolynomial processesFleming-Viot type processesprobability measure-valued processes

Mathematics Subject Classification ID

Random measures (60G57) Superprocesses (60J68)

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Cited In (14)

• Infinite dimensional affine processes
• Ranked masses in two-parameter Fleming–Viot diffusions
• Measure-valued affine and polynomial diffusions
• Polynomial jump-diffusion models
• Infinitesimal generators for a family of polynomial processes -- an algebraic approach
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• Itô's formula for flows of measures on semimartingales
• Independent increment processes: a multilinearity preserving property
• Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces

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