Uniqueness of stable processes with drift

DOI10.1090/PROC/12909MaRDI QIDQ2796737zbMATH OpenOpenAlexFDO

Authors Longmin Wang, Zhen-Qing Chen

Publication date 29 March 2016

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.6414

zbMATH Keywords

generatorKato classmartingale problemrotationally symmetric \(\alpha\)-stable processstochastic differential equationweak solution

Mathematics Subject Classification ID

Integro-differential operators (47G20) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Suppose that $dgeq1$ and $alphain(1,2)$. Let $Y$ be a rotationally symmetric $alpha$-stable process on $R^d$ and $b$ a $R^d$-valued measurable function on $R^d$ belonging to a certain Kato class of $Y$. We show that $d{X}_t^b=d{Y}_t+b(X_t^b)dt$ with $X_0^b=x$ has a unique weak solution for every $xin{R}^d$. Let $s{L}^b=-(-Delta{)}^{alpha/2}+bcdotabla$, which is the infinitesimal generator of $X^b$. Denote by $C^{i}nft{y}_c(R^d)$ the space of smooth functions on $R^d$ with compact support. We further show that the martingale problem for $(s{L}^b,C^{i}nft{y}_c(R^d))$ has a unique solution for each initial value $xin{R}^d$.

Review text

Let \(d\geq 1\) and \(\alpha\in(0,1)\). The authors study \(d\)-dimensional rotationally symmetric \(\alpha\)-stable processes. The fractional Laplace operator denoted as \(-(-\Delta)^{\alpha/2}\) is a generator of any of such processes. Some special Kato class of functions is introduced, and the operator \(L_b=-(-\Delta)^{\alpha/2}+b\nabla\) with some \(b\) from this Kato class is created. It is proved that the martingale problem for this operator and for any initial point \(x\in \mathbb{R}^d\) is well-posed in a sense that it has a unique solution. It is established also that the equation \(dX_t=dY_t+b(X_t)dt\) has a unique weak solution for any \(d\)-dimensional rotationally symmetric \(\alpha\)-stable process \(Y\) and any initial point \(x\in \mathbb{R}^d\).

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Cites work

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Cited in

(36)

• Uniqueness for isotropic diffusions with a linear drift
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