Martingale problems for some degenerate Kolmogorov equations

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:128

Article

Menozzi, Stephane^1,2 

[1] Univ Evry Val dEssonne, Lab Modelisat Math Evry LaMME, 23 Blvd France, F-91037 Evry, France

[2] HSE, Lab Stochast Anal, Shabolovka 31, Moscow, Russia

关键词: Degenerate SDEs;    Martingale problem;    Calderon-Zygmund estimates;   

DOI  :  10.1016/j.spa.2017.06.001

来源: Elsevier

【 摘 要 】

We obtain Calderon-Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous nonlinear coefficients. We then derive the well-posedness of the martingale problem associated with related degenerate operators, and therefore uniqueness in law for the corresponding stochastic differential equations. Some density estimates are established as well. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

Free