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arxiv: 0712.4137 · v2 · submitted 2007-12-26 · 🧮 math.PR

Uniqueness for the martingale problem associated with pure jump processes of variable order

classification 🧮 math.PR
keywords alphaassociatedjumpmartingaleoperatororderproblemprocesses
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Let $L$ be the operator defined on $C^2$ functions by $$L f(x)=\int[f(x+h)-f(x)-1_{(|h|\leq 1)}\nabla f(x)\cdot h]\frac{n(x,h)}{|h|^{d+\alpha(x)}}dh.$$ This is an operator of variable order and the corresponding process is of pure jump type. We consider the martingale problem associated with $L$. Sufficient conditions for existence and uniqueness are given. Transition density estimates for $\alpha$-stable processes are also obtained.

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