Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs

DOI10.1016/j.spa.2015.09.017zbMath1334.60068arXiv1208.1665OpenAlexW2187711493MaRDI QIDQ5962605

Peter Imkeller, Niklas Willrich

Publication date: 15 February 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.1665

zbMATH Keywords

weak solutionstochastic differential equationsMarkov processmartingale problempseudo-differential operatorSkorokhod spaceFeller processLévy-type processnon-local operatorstable-like process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Martingales and classical analysis (60G46) Pseudodifferential operators (47G30)

Related Items

A class of Lévy driven SDEs and their explicit invariant measures, On the existence of semimartingales with continuous characteristics, Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators, Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients

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