Markov selection for constrained martingale problems
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DOI: 10.1214/19-ejp393
Abstract: Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some way so that they do not leave the… read more here.
Keywords: process; markov selection; constrained martingale; strong markov ... See more keywords
On uniqueness of solutions to martingale problems — counterexamples and sufficient criteria
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DOI: 10.1214/20-ejp494
Abstract: The dynamics of a Markov process are often specified by its infinitesimal generator or, equivalently, its symbol. This paper contains examples of analytic symbols which do not determine the law of the corresponding Markov process… read more here.
Keywords: uniqueness solutions; solutions martingale; problems counterexamples; sufficient criteria ... See more keywords