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arXiv · 1706.06049

Cylindrical Martingale Problems Associated with Lévy Generators

David Criens
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Abstract

We introduce and discuss Lévy-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.

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David Criens. 2018-02-02. Cylindrical Martingale Problems Associated with Lévy Generators. https://arxiv.org/abs/1706.06049

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