English

The martingale problem for a class of stable-like processes

Probability 2007-09-20 v1

Abstract

Let α(0,2)\alpha\in (0,2) and consider the operator Lf(x)=[f(x+h)f(x)1(h1)f(x)h]A(x,h)hd+αdh,L f(x) =\int [f(x+h)-f(x)-1_{(|h|\leq 1)} \nabla f(x)\cdot h] \frac{A(x,h)}{|h|^{d+\alpha}} dh, where the f(x)h\nabla f(x)\cdot h term is omitted if α<1\alpha<1. We consider the martingale problem corresponding to the operator LL and under mild conditions on the function AA prove that there exists a unique solution.

Keywords

Cite

@article{arxiv.0709.3082,
  title  = {The martingale problem for a class of stable-like processes},
  author = {Richard F. Bass and Huili Tang},
  journal= {arXiv preprint arXiv:0709.3082},
  year   = {2007}
}
R2 v1 2026-06-21T09:19:13.513Z