Cylindrical Martingale Problems Associated with L\'evy Generators
classification
🧮 math.PR
keywords
problemscylindricalmartingaleapplicationsassociatedbanachcameron-martin-girsanov-typederive
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.