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

DOI10.1002/MANA.201800452zbMATH Open1444.60049arXiv1802.05888OpenAlexW3105818972MaRDI QIDQ5207953FDOQ5207953

Authors: Jamil Chaker 

Publication date: 14 January 2020

Published in: Mathematische Nachrichten (Search for Journal in Brave)

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.

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

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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)

Cited In (9)

• On the anisotropic stable JCIR process
• Drift reduction method for SDEs driven by heterogeneous singular Lévy noise
• Regularity of solutions to anisotropic nonlocal equations
• Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps
• Semigroup properties of solutions of SDEs driven by Lévy processes with independent coordinates
• Uniqueness in law for stable-like processes of variable order
• Heat kernel bounds for nonlocal operators with singular kernels
• MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022
• A Regularity Theory for Parabolic Equations with Anisotropic Nonlocal Operators in \(\boldsymbol{L_{{q}}(L_{{p}})}\) Spaces

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