The martingale problem for a class of pseudo differential operators
Pseudo-differential operators \(p(x,D)\) with continuous symbol \(p(x,\xi)\) which is a negative definite function with respect to \(\xi\) arise in a natural way as generators of stochastic processes. This article is concerned with symbols of the type \[ p(x,\xi)= \sum^ N_{j=1} b_ j(x) a^ 2_ j(\xi),\quad N\in \mathbb{N}, \] where \(a^ 2_ j\) are continuous negative definite functions and \(b_ j\) are sufficiently smooth coefficient functions. For the corresponding pseudo-differential operator it is proved that the martingale problem is uniquely solvable. For this purpose we show by Hilbert space methods that \(-p(x,D)\) is the generator of a strongly continuous semigroup on an anisotropic Sobolev space, which is defined in terms of the negative definite functions \(a^ 2_ j\). This can be applied to solve the Cauchy problem for the operator \({\partial\over \partial t}-p(x,D)\) and as a consequence to prove the uniqueness of the solutions to the martingale problem.
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