On infinitesimal generators of sublinear markov semigroups
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
We establish a Dynkin formula and a Courrège-von Waldenfels theorem for sublinear Markov semigroups. In particular, we show that any sublinear operator A on Cc∞(Rd) satisfying the positive maximum principle can be represented as supremum of a family of pseudo-differential operators: (Formula presented) As an immediate consequence, we obtain a representation formula for infinitesimal generators of sublinear Markov semigroups with a sufficiently rich domain. We give applications in the theory of non-linear Hamilton–Jacobi–Bellman equations and L´evy processes for sublinear expectations.
Details
Originalsprache | Englisch |
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Seiten (von - bis) | 487-508 |
Seitenumfang | 22 |
Fachzeitschrift | Osaka Journal of Mathematics |
Jahrgang | 58 |
Ausgabenummer | 3 |
Publikationsstatus | Veröffentlicht - 2021 |
Peer-Review-Status | Ja |