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2011 Parametrix techniques and martingale problems for some degenerate Kolmogorov equations
Stephane Menozzi
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Electron. Commun. Probab. 16(none): 234-250 (2011). DOI: 10.1214/ECP.v16-1619

Abstract

We prove the uniqueness of the martingale problem associated to some degenerate operators. The key point is to exploit the strong parallel between the new technique introduced by Bass and Perkins [BP09] to prove uniqueness of the martingale problem in the framework of non- degenerate elliptic operators and the Mc Kean and Singer [MS67] parametrix approach to the density expansion that has previously been extended to the degenerate setting that we consider (see Delarue and Menozzi [DM10]).

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Stephane Menozzi. "Parametrix techniques and martingale problems for some degenerate Kolmogorov equations." Electron. Commun. Probab. 16 234 - 250, 2011. https://doi.org/10.1214/ECP.v16-1619

Information

Accepted: 2 May 2011; Published: 2011
First available in Project Euclid: 7 June 2016

zbMATH: 1225.60097
MathSciNet: MR2802040
Digital Object Identifier: 10.1214/ECP.v16-1619

Subjects:
Primary: 60H10
Secondary: 60G46, 60H30

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