Martingale problems for some degenerate Kolmogorov equations

Stéphane Menozzi

doi:10.1016/j.spa.2017.06.001

Martingale problems for some degenerate Kolmogorov equations

Stéphane Menozzi

Université d'Evry Val d'Essonne
National Research University

Research output: Contribution to journal › Article › peer-review

13 Citations (Scopus)

Abstract

We obtain Calderón–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.

Original language	English
Pages (from-to)	756-802
Number of pages	47
Journal	Stochastic Processes and their Applications
Volume	128
Issue number	3
DOIs	https://doi.org/10.1016/j.spa.2017.06.001
Publication status	Published - 1 Mar 2018
Externally published	Yes

Keywords

Calderón–Zygmund estimates
Degenerate SDEs
Martingale problem

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10.1016/j.spa.2017.06.001

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title = "Martingale problems for some degenerate Kolmogorov equations",

abstract = "We obtain Calder{\'o}n{\textendash}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.",

keywords = "Calder{\'o}n{\textendash}Zygmund estimates, Degenerate SDEs, Martingale problem",

author = "St{\'e}phane Menozzi",

note = "Publisher Copyright: {\textcopyright} 2017 Elsevier B.V.",

year = "2018",

month = mar,

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doi = "10.1016/j.spa.2017.06.001",

language = "English",

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T1 - Martingale problems for some degenerate Kolmogorov equations

AU - Menozzi, Stéphane

PY - 2018/3/1

Y1 - 2018/3/1

N2 - We obtain Calderón–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.

AB - We obtain Calderón–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.

KW - Calderón–Zygmund estimates

KW - Degenerate SDEs

KW - Martingale problem

UR - https://www.scopus.com/pages/publications/85025124677

U2 - 10.1016/j.spa.2017.06.001

DO - 10.1016/j.spa.2017.06.001

M3 - Article

AN - SCOPUS:85025124677

SN - 0304-4149

VL - 128

SP - 756

EP - 802

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 3

ER -

Martingale problems for some degenerate Kolmogorov equations

Abstract

Keywords

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