The Lévy-Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups

DOI10.1007/S00440-010-0293-8zbMATH Open1235.60094arXiv0911.5688OpenAlexW2111851765MaRDI QIDQ644790FDOQ644790

Authors: Vassili Kolokoltsov 

Publication date: 7 November 2011

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0911.5688

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zbMATH Keywords

linear and nonlinear Markov semigroupsnonlinear integratorspseudo-differential generatorsWasserstein-Kantorovich metriccoupling of Lévy processesstochastic equations driven by Lévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stochastic integrals (60H05) Pseudodifferential operators (47G30)

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Cited In (8)

• Nonlinear Markov semigroups and interacting Lévy type processes
• CTRW modeling of quantum measurement and fractional equations of quantum stochastic filtering and control
• 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
• On a class of McKean-Vlasov stochastic functional differential equations with applications
• A non-linear stable non-Gaussian process in fractional time

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