On characterisation of Markov processes via martingale problems

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dc.creatorBhatt, Abhay G
dc.creatorKarandikar, Rajeeva L
dc.creatorRao, B V
dc.date2006-07-25
dc.date.accessioned2026-07-07T07:20:52Z
dc.date.available2026-07-07T07:20:52Z
dc.descriptionIt is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale problem is well-posed in the class of solutions which are continuous in probability. This extension is used to improve on a criterion for a probability measure to be invariant for the semigroup associated with the Markov process. We also give examples of martingale problems that are well-posed in the class of solutions which are continuous in probability but for which no r.c.l.l. solution exists.
dc.description14 pages
dc.identifierhttps://arxiv.org/abs/math/0607613
dc.identifierhttp://arxiv.org/abs/math/0607613
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/115106
dc.subjectProbability
dc.subject60G17; 60G44
dc.titleOn characterisation of Markov processes via martingale problems
dc.typetext

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