The martingale problem for a class of stable-like processes
- Bass, Richard F.
- Tang, Huili
Publication date
April 2009
DOI Publisher
Elsevier B.V. ISSN
0304-4149 Citation count (estimate)
24Abstract
AbstractLet α∈(0,2) and consider the operator Lf(x)=∫[f(x+h)−f(x)−1(|h|≤1)∇f(x)⋅h]A(x,h)|h|d+αdh for f∈C2(Rd), where the ∇f(x)⋅h term is omitted if α<1. We consider the martingale problem corresponding to the operator L and under mild conditions on the function A prove that there exists a unique solution
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