Parametrix techniques and martingale problems for some degenerate Kolmogorov equations

DOI10.1214/ECP.V16-1619zbMATH Open1225.60097arXiv1011.1824OpenAlexW1537833408MaRDI QIDQ638271FDOQ638271

Authors: Stéphane Menozzi 

Publication date: 9 September 2011

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We prove the uniqueness of the martingale problem associated to some degenerate operators. The key point is to exploit the strong parallel between the new technique introduced by Bass and Perkins (From Probability to Geometry, vol. in honor of J.M Bismut (2009)) to prove uniqueness of the martingale problem in the framework of non degenerated elliptic operators and the Mc Kean and Singer (Journal of Diff. Geometry, 1967) parametrix approach to the density expansion that has previously been extended to the degenerate setting that we consider (see Delarue and Menozzi, Journal of Funct. Analysis, 2010).

Full work available at URL: https://arxiv.org/abs/1011.1824

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zbMATH Keywords

martingale problemhypoelliptic equationparametrix techniques

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

Cited In (30)

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• On weak solutions of highly degenerate SDEs
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• Intrinsic expansions for averaged diffusion processes
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• Schauder type estimates for degenerate Kolmogorov equations with Dini continuous coefficients
• Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
• Drift reduction method for SDEs driven by heterogeneous singular Lévy noise
• Sharp Schauder estimates for some degenerate Kolmogorov equations
• The parametrix method for skew diffusions
• Uniqueness in law for stable-like processes of variable order
• A new proof of the geometric Sobolev embedding for generalised Kolmogorov operators
• On weak uniqueness for some degenerate SDEs by global \(L^p\) estimates
• Degenerate SDE with Hölder-Dini drift and non-Lipschitz noise coefficient
• A probabilistic interpretation of the parametrix method
• Weak regularization by stochastic drift: result and counter example
• Stability of Densities for Perturbed Degenerate Diffusions
• Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
• Stability of densities for perturbed diffusions and Markov chains
• Regularization effects of a noise propagating through a chain of differential equations: an almost sharp result
• A Poincaré cone condition in the Poincaré group
• Strong regularization by Brownian noise propagating through a weak Hörmander structure
• A parametrix approach for some degenerate stable driven SDEs
• Heat kernel and gradient estimates for kinetic SDEs with low regularity coefficients
• Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients
• On stochastic Langevin and Fokker-Planck equations: the two-dimensional case
• Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
• On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise
• Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions

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