Martingale problems for some degenerate Kolmogorov equations

Martingale 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...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Stochastic processes and their applications 2018-03, Vol.128 (3), p.756-802
1. Verfasser: Menozzi, Stéphane
Format: Artikel
Sprache:eng
Schlagworte:
Calderón–Zygmund estimates
Degenerate SDEs
Martingale problem
Mathematics
Probability
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:0304-4149
1879-209X
DOI:10.1016/j.spa.2017.06.001