A stochastic representation theorem for sublinear semigroups with non-local generators
Probability
2023-12-29 v2 Analysis of PDEs
Abstract
In this paper we investigate sublinear semigroups whose pointwise generators are given by non-local Hamilton-Jacobi-Bellman operators. Our main result provides a stochastic representation in terms of a family of sublinear (conditional) expectations that can be understood as a nonlinear Markov family with uncertain local characteristics. The proofs are based on viscosity methods.
Cite
@article{arxiv.2311.03138,
title = {A stochastic representation theorem for sublinear semigroups with non-local generators},
author = {David Criens and Lars Niemann},
journal= {arXiv preprint arXiv:2311.03138},
year = {2023}
}
Comments
formulation of some results has been sharpened and typos were corrected