Parametrix techniques and martingale problems for some degenerate Kolmogorov equations
نویسندگان
چکیده
منابع مشابه
Parametrix Techniques and Martingale Problems for Some Degenerate Kolmogorov Equations
We prove the uniqueness of the martingale problem associated to some degenerate operators. The key point is to exploit the strong parallel between the new technique introduced by Bass and Perkins [2] to prove uniqueness of the martingale problem in the framework of non-degenerate elliptic operators and the Mc Kean and Singer [13] parametrix approach to the density expansion that has previously ...
متن کاملMartingale problems for some degenerate Kolmogorov equations
We obtain Calderón-Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous nonlinear coefficients. We then derive the well-posedness of the martingale problem associated with related degenerate operators, and therefore uniqueness in law for the corresponding stochastic differential equations. Some density estimates are established as well.
متن کاملglobal results on some nonlinear partial differential equations for direct and inverse problems
در این رساله به بررسی رفتار جواب های رده ای از معادلات دیفرانسیل با مشتقات جزیی در دامنه های کراندار می پردازیم . این معادلات به فرم نیم-خطی و غیر خطی برای مسایل مستقیم و معکوس مورد مطالعه قرار می گیرند . به ویژه، تاثیر شرایط مختلف فیزیکی را در مساله، نظیر وجود موانع و منابع، پراکندگی و چسبندگی در معادلات موج و گرما بررسی می کنیم و به دنبال شرایطی می گردیم که متضمن وجود سراسری یا عدم وجود سراسر...
Equivalence of stochastic equations and martingale problems
The fact that the solution of a martingale problem for a diffusion process gives a weak solution of the corresponding Itô equation is well-known since the original work of Stroock and Varadhan. The result is typically proved by constructing the driving Brownian motion from the solution of the martingale problem and perhaps an auxiliary Brownian motion. This constructive approach is much more ch...
متن کاملOn a class of degenerate parabolic equations of Kolmogorov type
We adapt the Levi’s parametrix method to prove existence, estimates and qualitative properties of a global fundamental solution to ultraparabolic partial differential equations of Kolmogorov type. Existence and uniqueness results for the Cauchy problem are also proved.
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2011
ISSN: 1083-589X
DOI: 10.1214/ecp.v16-1619