Locally Feller processes and martingale local problems

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:133

Article

Gradinaru, Mihai¹  Haugomat, Tristan¹ 

[1] Univ Rennes, IRMAR, CNRS, UMR 6625, F-35000 Rennes, France

关键词: Martingale problem;    Feller processes;    Weak convergence of probability measures;    Skorokhod topology;    Generators;    Localisation;   

DOI  :  10.1016/j.spa.2020.11.003

来源: Elsevier

【 摘 要 】

This paper is devoted to the study of a certain type of martingale problems associated to general operators corresponding to processes which have finite lifetime. We analyse several properties and in particular the weak convergence of sequences of solutions for an appropriate Skorokhod topology setting. We point out the Feller-type features of the associated solutions to this type of martingale problem. Then localisation theorems for well-posed martingale problems or for corresponding generators are proved. (C) 2020 Elsevier B.V. All rights reserved.

【 授权许可】

Free