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An analytic approach to existence and uniqueness for martingale problems in infinite dimensions
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  • Published: October 2000

An analytic approach to existence and uniqueness for martingale problems in infinite dimensions

  • Lorenzo Zambotti1 

Probability Theory and Related Fields volume 118, pages 147–168 (2000)Cite this article

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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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Authors and Affiliations

  1. Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126 Pisa, Italy. e-mail: zambotti@cibs.sns.it, , , , , , IT

    Lorenzo Zambotti

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  1. Lorenzo Zambotti
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Received: 18 May 1998 / Revised version: 27 September 1999 / Published online: 5 September 2000

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Cite this article

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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  • Issue Date: October 2000

  • DOI: https://doi.org/10.1007/s440-000-8012-6

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Keywords

  • Hilbert Space
  • Analytic Approach
  • Kolmogorov Equation
  • Infinite Dimension
  • Martingale Problem
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