The martingale problem for a class of nonlocal operators of diagonal type

DOI10.1002/MANA.201800452MaRDI QIDQ5207953zbMATH OpenOpenAlexFDO

Authors Jamil Chaker

Publication date 14 January 2020

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.05888

zbMATH Keywords

perturbationmartingale problemsystems of stochastic differential equationsLévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-differential operators (47G20) Stable stochastic processes (60G52) Martingales and classical analysis (60G46) Jump processes on discrete state spaces (60J74)

Abstract: We consider systems of stochastic differential equations of the form [ d X_t^i = sum_{j=1}^d A_{ij}(X_{t-}) d Z_t^j] for $i=1,dots,d$ with continuous, bounded and non-degenerate coefficients. Here $Z_t^1,dots,Z_t^d$ are independent one-dimensional stable processes with $alph{a}_1,dots,alph{a}_{d}in(0,2)$. In this article we research on uniqueness of weak solutions to such systems by studying the corresponding martingale problem. We prove the uniqueness of weak solutions in the case of diagonal coefficient matrices.

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