The martingale problem for a class of stable-like processes
نویسندگان
چکیده
Let α ∈ (0, 2) and consider the operator Lf(x) = ∫ [f(x+ h)− f(x)− 1(|h|≤1)∇f(x) · h] A(x, h) |h|d+α dh, where the ∇f(x) · h term is omitted if α < 1. We consider the martingale problem corresponding to the operator L and under mild conditions on the function A prove that there exists a unique solution.
منابع مشابه
Risk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process
This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...
متن کاملOn characterisation of Markov processes via martingale problems
Abstract. It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale problem is well-posed in the class of solutions which are continuous in probability. This extension is used to improve on a criterion for a probabi...
متن کاملInteracting Superprocesses with Discontinuous Spatial Motion and their Associated SPDEs
A class of interacting superprocesses arising from branching particle systems with continuous spatial motions, called superprocesses with dependent spatial motion (SDSMs), has been introduced and studied in Wang [26] and Dawson et al. [8]. In this paper, we extend the model to allow discontinuous spatial motions. Under Lipschitz condition for coefficients, we show that under a proper rescaling,...
متن کاملADAPTIVE FUZZY OUTPUT FEEDBACK TRACKING CONTROL FOR A CLASS OF NONLINEAR TIME-VARYING DELAY SYSTEMS WITH UNKNOWN BACKLASH-LIKE HYSTERESIS
This paper considers the problem of adaptive output feedback tracking control for a class of nonstrict-feedback nonlinear systems with unknown time-varying delays and unknown backlash-like hysteresis. Fuzzy logic systems are used to estimate the unknown nonlinear functions. Based on the Lyapunov–Krasovskii method, the control scheme is constructed by using the backstepping and adaptive techniqu...
متن کاملMartingale Problems and Path Properties of Solutions
Existence and uniqueness of solutions of martingale problems, not only in the class of r.c.l.l. or continuous process, but also in the class of progressively measurable processes has become important. In this article we give several examples which show that existence or uniqueness in any one class need not imply the same in another class. We also give an example of a well-posed martingale probl...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2008