Well-posedness of martingale problem for SBM with interacting branching

2021/04/06 by Lina Ji, Jie Xiong, Ji, Lina +3
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2104.02295

openalex publication_date 2021/04/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper a martingale problem for super-Brownian motion with interactive branching is derived. The uniqueness of the solution to the martingale problem is obtained by using the pathwise uniqueness of the solution to a corresponding system of SPDEs with proper boundary conditions. The existence of the solution to the martingale problem and the Holder continuity of the density process are also studied.

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