2019
DOI: 10.1002/mana.201800452
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The martingale problem for a class of nonlocal operators of diagonal type

Abstract: We consider systems of stochastic differential equations of the form trueright150.0ptdXti=∑j=1dAijtrue(Xt−true)dZtjfor i=1,⋯,d with continuous, bounded and non‐degenerate coefficients. Here Zt1,⋯,Ztd are independent one‐dimensional stable processes with α1,⋯,αd∈false(0,2false). In this article we research on uniqueness of weak solutions to such systems by studying the corresponding martingale problem. We prove the uniqueness of weak solutions in the case of diagonal coefficient matrices.

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Cited by 13 publications
(5 citation statements)
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“…, Y d ) under certain assumptions on the matrix A. For the case where Z i 's are independent α i -stable processes with different α i , a similar result was obtained in [8] (see [7] for the uniqueness of weak solutions for diagonal matrix A). In [9], the authors investigated Poisson equations with singular anisotropic operators such as A in (1.1).…”
Section: ˆR3supporting
confidence: 53%
“…, Y d ) under certain assumptions on the matrix A. For the case where Z i 's are independent α i -stable processes with different α i , a similar result was obtained in [8] (see [7] for the uniqueness of weak solutions for diagonal matrix A). In [9], the authors investigated Poisson equations with singular anisotropic operators such as A in (1.1).…”
Section: ˆR3supporting
confidence: 53%
“…In recent years singular, nonlocal Lévy operators have been intensively studied both by probabilists and specialists in PDEs, see e.g. [4,5,7,8,10,22,23,24,28]. An interesting open problem is the following.…”
Section: Introductionmentioning
confidence: 99%
“…In this case, the results of [DF13] are extended in [FJR18]. Uniqueness and existence of weak solutions is proved in [Cha19] under the additional assumption that the matrix A ik is diagonal.…”
Section: Theorem 15 (Hölder Regularity Estimate)mentioning
confidence: 99%