Related papers: On Martingale Problems and Feller Processes
In this article we prove that the heat kernel attached to the non-archimedean elliptic pseudodifferential operators determine a Feller semigroup and a uniformly stochastically continuous C_0 transition function of some strong Markov…
Based on the popular Caputo fractional derivative of order $\beta$ in $(0,1)$, we define the censored fractional derivative on the positive half-line $\mathbb R_+$. This derivative proves to be the Feller generator of the censored (or…
We study functional stochastic differential equations with a locally unbounded, functional drift focusing on well-posedness, stability and the strong Feller property. Following the non-functional case, we only consider integrability…
The paper analyses a model in surface growth, where uniqueness of weak solutions seems to be out of reach. We provide the existence of a weak martingale solution satisfying energy inequalities and having the Markov property. Furthermore,…
In this article, the existence and uniqueness about the solution for a class of stochastic fractional-order differential equation systems are investigated, where the fractional derivative is described in Caputo sense. The fractional…
We study class of L\'{e}vy processes having distributions being indentifiable by moments. We define system of polynomial martingales \newline $\left\{ M_{n}(X_{t},t),\mathcal{F}_{\leq t}\right\} _{n\geq 1},$ where $% \mathcal{F}_{\leq t}$…
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…
In this paper we study a new class of pseudo-differential equations on functions of two $p$-adic variables. It is proved that the correspondent Cauchy problem has a unique solution. Some properties of this solution are studied, in…
In this paper, we investigate stochastic differential equations(SDEs) driven by a class of supercritical $\alpha$-stable process(including the rotational symmetric $\alpha-$stable process) with drift $b$. The weak well-posedness is proved,…
We obtain general weak existence and stability results for stochastic convolution equations with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients and singular kernels. Our approach relies on weak convergence…
For a stochastic process $(X_t)_{t\geq 0}$ we establish conditions under which the inverse first-passage time problem has a solution for any random variable $\xi >0$. For Markov processes we give additional conditions under which the…
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…
We present an existence result for L\'evy-type processes which requires only weak regularity assumptions on the symbol $q(x,\xi)$ with respect to the space variable $x$. Applications range from existence and uniqueness results for…
This paper studies three ways to construct a nonhomogeneous jump Markov process: (i) via a compensator of the random measure of a multivariate point process, (ii) as a minimal solution of the backward Kolmogorov equation, and (iii) as a…
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question from a semimartingale perspective. We connect the…
We prove, using a fixed point theorem in a Banach algebra, an existence result for a fractional functional differential equation in the Riemann-Liouville sense. Dependence of solutions with respect to initial data and an uniqueness result…
In this paper, as a main result, we derive a Chung-Fuchs type condition for the recurrence of Feller processes associated with pseudo-differential operators. In the L\'evy process case, this condition reduces to the classical and well-known…
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…
We consider a stochastic perturbation of the $\alpha$-Navier-Stokes model. The stochastic perturbation is an additive space-time noise of trace class. Under a natural condition about the trace of operator $Q$ in front of the noise, we prove…
In this paper we study the uniqueness property of solutions to the steady incompressible Euler equations with perturbations in $\Bbb R^N$. Our perturbations include as special cases the Euler equations with a `single signed' nonlinear term,…