Stochastic monotonicity and duality for one-dimensional Markov processes

DOI10.1134/S0001434611050063zbMATH Open1237.60063arXiv1002.4773OpenAlexW1663754435MaRDI QIDQ650481FDOQ650481

Authors: Vassili Kolokoltsov 

Publication date: 25 November 2011

Published in: Mathematical Notes (Search for Journal in Brave)

Abstract: The theory of monotonicity and duality is developed for general one-dimensional Feller processes. Moreover it is shown that local monotonicity conditions (conditions on the L'evy kernel) are sufficient to prove the well-posedness of the corresponding Markov semigroup and process, including unbounded coefficients and processes on the half-line.

Full work available at URL: https://arxiv.org/abs/1002.4773

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zbMATH Keywords

stochastic monotonicityduality, one-dimensional Markov processLèvy-Kchintchine type generator

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Probabilistic potential theory (60J45)

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Cited In (15)

• A sample path proof of the duality for stochastically monotone Markov processes
• Stochastic monotonicity and the Markov product for copulas
• On the equivalence between Liggett duality of Markov processes and the duality relation between their generators
• Markov property of monotone Lévy processes
• On fully mixed and multidimensional extensions of the Caputo and Riemann-Liouville derivatives, related Markov processes and fractional differential equations
• From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity
• Stochastic duality of Markov processes: A study via generators
• The stochastic monotonicity of inhomogeneous Markov processes
• Coalescences in continuous-state branching processes
• Monotone Stochastic Recursions and their Duals
• Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
• Duality of a Class of One‐Dimensional FELLER‐Processes
• Title not available (Why is that?)
• Fractional partial differential equations with boundary conditions
• Pathwise duals of monotone and additive Markov processes

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