The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels

Abstract

We consider the linear integro-differential operator $L$ defined by \[ Lu(x) =\int_\Rn (u(x+y) - u(x) - 1_{[1,2]}(α) 1_{\{|y|\leq 2\}}(y)y \cdot \nabla u(x)) k(x,y) \sd y . \] Here the kernel $k(x,y)$ behaves like $|y|^{-d-α}$, $α\in (0,2)$, for small $y$ and is Hölder-continuous in the first variable, precise definitions are given below. The aim of this work is twofold. On one hand, we study the unique solvability of the Cauchy problem corresponding to $L$. On the other hand, we study the martingale problem for $L$. The analytic results obtained for the deterministic parabolic equation guarantee that the martingale problem is well-posed. Our strategy follows the classical path of Stroock-Varadhan. The assumptions allow for cases that have not been dealt with so far.