2010/11/08 by Stéphane Menozzi, Menozzi, Stephane
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #Analysis of PDEs (math.AP) #FOS: Mathematics #Numerical methods in inverse problems #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1011.1824
openalex publication_date 2010/11/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We prove the uniqueness of the martingale problem associated to some degenerate operators. The key point is to exploit the strong parallel between the new technique introduced by Bass and Perkins (From Probability to Geometry, vol. in honor of J.M Bismut (2009)) to prove uniqueness of the martingale problem in the framework of non degenerated elliptic operators and the Mc Kean and Singer (Journal of Diff. Geometry, 1967) parametrix approach to the density expansion that has previously been extended to the degenerate setting that we consider (see Delarue and Menozzi, Journal of Funct. Analysis, 2010).