The Lévy-Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups
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Abstract: Ito's construction of Markovian solutions to stochastic equations driven by a L'evy noise is extended to nonlinear distribution dependent integrands aiming at the effective construction of linear and nonlinear Markov semigroups and the corresponding processes with a given pseudo-differential generator. It is shown that a conditionally positive integro-differential operator (of the L'evy-Khintchine type) with variable coefficients (diffusion, drift and L'evy measure) depending Lipschitz continuously on its parameters (position and/or its distribution) generates a linear or nonlinear Markov semigroup, where the measures are metricized by the Wasserstein-Kantorovich metrics. This is a nontrivial but natural extension to general Markov processes of a long known fact for ordinary diffusions.
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- Coupling property and gradient estimates of Lévy processes via the symbol
- High-order numerical schemes for jump-SDEs
- The law of large numbers for quantum stochastic filtering and control of many-particle systems
- Integration by parts formula and applications to equations with jumps
- A non-linear stable non-Gaussian process in fractional time
- On a class of McKean-Vlasov stochastic functional differential equations with applications
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