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Martingale and Markov Uniqueness of Infinite Dimensional Nelson Diffusions

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Stochastic Analysis and Mathematical Physics

Part of the book series: Progress in Probability ((PRPR,volume 50))

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Abstract

In this paper we study the uniqueness of a solution of the martingale problem associated with a generalized Schrödinger operator or generator of a Nelson diffusion on a general Polish space E, given by

$$ {{\cal L}^\phi }f = {\cal L}f + 2{{\Gamma (f,\phi )} \over \phi },\forall f{\cal D} $$
(1.1)

where D is some space of testfunctions, L is the generator of some E-valued Markov process (say, the non-perturbed or free process), Γ(•, •) is the associated square-field operator, and ø is some wave function belonging to the Dirichlet space associated with (L, μ). To make it clear, let us begin by describing the free process.

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Wu, L. (2001). Martingale and Markov Uniqueness of Infinite Dimensional Nelson Diffusions. In: Cruzeiro, A.B., Zambrini, JC. (eds) Stochastic Analysis and Mathematical Physics. Progress in Probability, vol 50. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0127-4_9

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  • DOI: https://doi.org/10.1007/978-1-4612-0127-4_9

  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4612-6624-2

  • Online ISBN: 978-1-4612-0127-4

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