The martingale problem for a class of stable-like processes

Let [alpha][set membership, variant](0,2) and consider the operator for , where the [backward difference]f(x)[dot operator]h term is omitted if [alpha]<1. We consider the martingale problem corresponding to the operator and under mild conditions on the function A prove that there exists a unique solution.

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Year of publication:	2009
Authors:	Bass, Richard F. ; Tang, Huili
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 4, p. 1144-1167
Publisher:	Elsevier
Keywords:	Martingale problem Stable-like processes Symmetric stable process Stochastic differential equation Jump process Poisson point process Harnack inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875429