Uniqueness for the martingale problem associated with pure jump processes of variable order
Abstract
Description
Let $L$ be the operator defined on $C^2$ functions by $$L f(x)=\int[f(x+h)-f(x)-1_{(|h|\leq 1)}\nabla f(x)\cdot h]\frac{n(x,h)}{|h|^{d+α(x)}}dh.$$ This is an operator of variable order and the corresponding process is of pure jump type. We consider the martingale problem associated with $L$. Sufficient conditions for existence and uniqueness are given. Transition density estimates for $α$-stable processes are also obtained.