English

The submartingale problem for a class of degenerate elliptic operators

Probability 2007-05-23 v1 Analysis of PDEs

Abstract

We consider the degenerate elliptic operator acting on C2C^2 functions on [0,)d[0,\infty)^d: Lf(x)=i=1dai(x)xiαi2fxi2(x)+i=1dbi(x)fxi(x), L f(x)=\sum_{i=1}^d a_i(x) x_i^{\alpha_i} \frac{\partial^2 f}{\partial x_i^2} (x) +\sum_{i=1}^d b_i(x) \frac{\partial f}{\partial x_i}(x), where the aia_i are continuous functions that are bounded above and below by positive constants, the bib_i are bounded and measurable, and the αi(0,1)\alpha_i\in (0,1). We impose Neumann boundary conditions on the boundary of [0,)d[0,\infty)^d. There will not be uniqueness for the submartingale problem corresponding to LL. If we consider, however, only those solutions to the submartingale problem for which the process spends 0 time on the boundary, then existence and uniqueness for the submartingale problem for LL holds within this class. Our result is equivalent to establishing weak uniqueness for the system of stochastic differential equations dXti=2ai(Xt)(Xti)αi/2dWti+bi(Xt)dt+dLtXi,whereXti0, dX_t^i=\sqrt{2a_i(X_t)} (X_t^i)^{\alpha_i/2} dW^i_t+b_i(X_t) dt +dL_t^{X^i}, where X^i_t\geq 0, where WtiW_t^i are independent Brownian motions and LtXiL^{X_i}_t is a local time at 0 for XiX^i.

Keywords

Cite

@article{arxiv.math/0601027,
  title  = {The submartingale problem for a class of degenerate elliptic operators},
  author = {Richard F. Bass and Alexander Lavrentiev},
  journal= {arXiv preprint arXiv:math/0601027},
  year   = {2007}
}
R2 v1 2026-07-22T17:29:23.106Z