On infinitesimal generators of sublinear Markov semigroups

arXiv1909.08324MaRDI QIDQ6325536FDOQ6325536

Authors: Franziska Kühn 

Publication date: 18 September 2019

Abstract: We establish a Dynkin formula and a Courr`ege-von Waldenfels theorem for sublinear Markov semigroups. In particular, we show that any sublinear operator $A$ on $C_c^{infty}(mathbb{R}^d)$ satisfying the positive maximum principle can be represented as supremum of a family of pseudo-differential operators: ${\displaystyle }$Af(x) = sup_{alpha in I} (-q_{alpha}(x,D) f)(x).${\displaystyle }$ As an immediate consequence, we obtain a representation formula for infinitesimal generators of sublinear Markov semigroups with a sufficiently rich domain. We give applications in the theory of non-linear Hamilton--Jacobi--Bellman equations and L'evy processes for sublinear expectations.

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Nonlinear evolution equations (47J35) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Transition functions, generators and resolvents (60J35)

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