On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes

DOI10.1090/TRAN/6243zbMATH Open1330.60062arXiv1211.4636OpenAlexW1797800508MaRDI QIDQ2944909FDOQ2944909

Authors: Paul M. N. Feehan, Camelia A. Pop 

Publication date: 8 September 2015

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Abstract: Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and mathematical finance, concerning degenerate diffusion processes. We show that the martingale problem associated with a degenerate-elliptic differential operator with unbounded, locally Holder continuous coefficients on a half-space is well-posed in the sense of Stroock and Varadhan. Second, we prove existence, uniqueness, and the strong Markov property for weak solutions to a stochastic differential equation with degenerate diffusion and unbounded coefficients with suitable H"older continuity properties. Third, for an Ito process with degenerate diffusion and unbounded but appropriately regular coefficients, we prove existence of a strong Markov process, unique in the sense of probability law, whose one-dimensional marginal probability distributions match those of the given Ito process.

Full work available at URL: https://arxiv.org/abs/1211.4636

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zbMATH Keywords

degenerate diffusion processstrong Markov processdegenerate stochastic differential equationdegenerate martingale problemdegenerate-parabolic differential operatorunbounded regular coefficientsItō process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (15)

• Superposition and mimicking theorems for conditional McKean-Vlasov equations
• Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
• Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
• A quasilinear chemotaxis-haptotaxis system: existence and blow-up results
• Boundary estimates for a degenerate parabolic equation with partial Dirichlet boundary conditions
• On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes
• \(C^{1,1}\) regularity for degenerate elliptic obstacle problems
• Uniqueness for degenerate parabolic equations in weighted \(L^1\) spaces
• The submartingale problem for a class of degenerate elliptic operators
• Negligibility of haptotaxis on global dynamics in a chemotaxis-haptotaxis system with indirect signal production
• Integral conditions for uniqueness of solutions to degenerate parabolic equations
• Existence, uniqueness and the strong Markov property of solutions to Kimura diffusions with singular drift
• A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients
• Some SDEs with distributional drift. II: Lyons-Zheng structure, Itô's formula and semimartingale characterization
• Initial-boundary value problems for conservative Kimura-type equations: solvability, asymptotic and conservation law

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