Lyapunov criteria for the Feller–Dynkin property of martingale problems

David Criens

Stochastic Processes and their Applications, 2020, vol. 130, issue 5, 2693-2736

Abstract: We give necessary and sufficient criteria for the Feller–Dynkin property of solutions to martingale problems in terms of Lyapunov functions. Moreover, we derive a Khasminskii-type integral test for the Feller–Dynkin property of multidimensional diffusions with random switching. For one dimensional switching diffusions with state-independent switching, we provide an integral-test for the Feller–Dynkin property.

Keywords: Feller–Dynkin process; Cb-Feller process; Martingale problem; Lyapunov function; Switching diffusions (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:5:p:2693-2736

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DOI: 10.1016/j.spa.2019.07.016

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