On infinitesimal generators of sublinear markov semigroups

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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 languageEnglish
Pages (from-to)487-508
Number of pages22
JournalOsaka Journal of Mathematics
Volume58
Issue number3
Publication statusPublished - 2021
Peer-reviewedYes

Keywords

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