Existence of (Markovian) solutions to martingale problems associated with L\'evy-type operators
Abstract
Let A be a pseudo-differential operator with symbol q(x,). In this paper we derive sufficient conditions which ensure the existence of a solution to the (A,Cc∞(Rd))-martingale problem. If the symbol q depends continuously on the space variable x, then the existence of solutions is well understood, and therefore the focus lies on martingale problems for pseudo-differential operators with discontinuous coefficients. We prove an existence result which allows us, in particular, to obtain new insights on the existence of weak solutions to a class of L\'evy-driven SDEs with Borel measurable coefficients and on the the existence of stable-like processes with discontinuous coefficients. Moreover, we establish a Markovian selection theorem which shows that - under mild assumptions - the (A,Cc∞(Rd))-martingale problem gives rise to a strong Markov process. The result applies, in particular, to L\'evy-driven SDEs. We illustrate the Markovian selection theorem with applications in the theory of non-local operators and equations; in particular, we establish under weak regularity assumptions a Harnack inequality for non-local operators of variable order.
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