Well-posedness of the martingale problem for superprocess with interaction

MaRDI QIDQ281500zbMATH OpenFDO

Authors Leonid Mytnik, Jie Xiong

Publication date 11 May 2016

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ijm/1462450710

zbMATH Keywords

backward stochastic differential equationsmartingale problemstochastic partial differential equationsuperprocess

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Superprocesses (60J68)

Review text

The authors consider super-Brownian motions with interactive immigration, which are solutions of the martingale problem (MP), which itself can be thought of as a special type of stochastic dynamics. The purpose of the paper is to prove the uniqueness of the solution of the MP and, to this end, the authors show that there are some relations between the MP and a stochastic partial differential equation, which itself can be related to backward stochastic differential equations.

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Cites work

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Cited in

(14)

• Super-Brownian motion as the unique strong solution to an SPDE
• Uniqueness problem for SPDEs from population models
• scientific article; zbMATH DE number 1619460 (Why is no real title available?)
• On supermartingale problems
• Superprocesses with interaction and immigration
• A distribution-function-valued SPDE and its applications
• scientific article; zbMATH DE number 926389 (Why is no real title available?)
• The martingale problem for stochastic differential equations with interaction
• Mutually interacting superprocesses with migration
• Long-time behavior for subcritical measure-valued branching processes with immigration
• Well-posedness of the martingale problem for super-Brownian motion with interactive branching
• On mean-field super-Brownian motions
• SPDEs with non-Lipschitz coefficients and nonhomogeneous boundary conditions
• Martingale problem for superprocesses with non-classical branching functional

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