Cylindrical Martingale Problems Associated with L\'evy Generators
Probability
2018-02-05 v3
Abstract
We introduce and discuss L\'evy-type cylindrical martingale problems on separable reflexive Banach spaces. Our main observations are the following: Cylindrical martingale problems have a one-to-one relation to weak solutions of stochastic partial differential equations. Moreover, well-posed problems possess the strong Markov property and a Cameron-Martin-Girsanov-type formula holds. As applications, we derive existence and uniqueness results.
Keywords
Cite
@article{arxiv.1706.06049,
title = {Cylindrical Martingale Problems Associated with L\'evy Generators},
author = {David Criens},
journal= {arXiv preprint arXiv:1706.06049},
year = {2018}
}