Lyapunov criteria for the Feller-Dynkin property of martingale problems

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:130

Article

Criens, David¹ 

[1] Tech Univ Munich, Ctr Math, Munich, Germany

关键词: Feller-Dynkin process;    C-b-Feller process;    Martingale problem;    Lyapunov function;    Switching diffusions;   

DOI  :  10.1016/j.spa.2019.07.016

来源: Elsevier

【 摘 要 】

We give necessary and sufficient criteria for the Feller-Dynkin property of solutions to martingale problems in terms of Lyapunov functions. Moreover, we derive a Khasminskii-type integral test for the Feller-Dynkin property of multidimensional diffusions with random switching. For one dimensional switching diffusions with state-independent switching, we provide an integral-test for the Feller-Dynkin property. (C) 2019 Elsevier B.V. All rights reserved.

【 授权许可】

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