Stochastic Processes under Parameter Uncertainty

DOI10.1016/J.JMAA.2024.128388MaRDI QIDQ6411499zbMATH OpenOpenAlexFDO

Authors David Criens

Publication date 21 September 2022

Full work available at URL https://doi.org/10.1016/j.jmaa.2024.128388

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper we study a family of nonlinear (conditional) expectations that can be understood as a stochastic process with uncertain parameters. We develop a general framework which can be seen as a version of the martingale problem method of Stroock and Varadhan with parameter uncertainty. In particular, we show that our methodology includes the important class of nonlinear L'evy processes as introduced by Neufeld and Nutz, and we introduce the new classes of stochastic partial differential equations and spin systems with parameter uncertainty. Moreover, we study properties of the nonlinear expectations. We prove the dynamic programming principle, i.e., the tower property, and we establish conditions for the (strong) (USC_b)--Feller property and a strong Markov selection principle. Finally, we investigate ergodicity for spin systems with uncertain parameters such as the nonlinear contact process.

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(4)

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• Nonlinear semimartingales and Markov processes with jumps
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