On infinitesimal generators of sublinear markov semigroups
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
Original language | English |
---|---|
Pages (from-to) | 487-508 |
Number of pages | 22 |
Journal | Osaka Journal of Mathematics |
Volume | 58 |
Issue number | 3 |
Publication status | Published - 2021 |
Peer-reviewed | Yes |