Martingale problems for some degenerate Kolmogorov equations

Stéphane Menozzi

Stochastic Processes and their Applications, 2018, vol. 128, issue 3, 756-802

Abstract: We obtain Calderón–Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous nonlinear coefficients. We then derive the well-posedness of the martingale problem associated with related degenerate operators, and therefore uniqueness in law for the corresponding stochastic differential equations. Some density estimates are established as well.

Keywords: Degenerate SDEs; Martingale problem; Calderón–Zygmund estimates (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spa.2017.06.001

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