On infinitesimal generators of sublinear markov semigroups

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

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

OriginalspracheEnglisch
Seiten (von - bis)487-508
Seitenumfang22
FachzeitschriftOsaka Journal of Mathematics
Jahrgang58
Ausgabenummer3
PublikationsstatusVeröffentlicht - 2021
Peer-Review-StatusJa

Schlagworte

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