Abstract.
We prove existence and uniqueness for a class of martingale problems in a Hilbert space. We solve the associated Kolmogorov equation and prove that the corresponding semigroup is determined by a kernel of measures if a Schauder-type regularity is satisfied.
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Received: 18 May 1998 / Revised version: 27 September 1999 / Published online: 5 September 2000
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Zambotti, L. An analytic approach to existence and uniqueness for martingale problems in infinite dimensions. Probab Theory Relat Fields 118, 147–168 (2000). https://doi.org/10.1007/s440-000-8012-6
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DOI: https://doi.org/10.1007/s440-000-8012-6
Keywords
- Hilbert Space
- Analytic Approach
- Kolmogorov Equation
- Infinite Dimension
- Martingale Problem