Locally Feller processes and martingale local problems

Mihai Gradinaru and Tristan Haugomat

Stochastic Processes and their Applications, 2021, vol. 133, issue C, 129-165

Abstract: This paper is devoted to the study of a certain type of martingale problems associated to general operators corresponding to processes which have finite lifetime. We analyse several properties and in particular the weak convergence of sequences of solutions for an appropriate Skorokhod topology setting. We point out the Feller-type features of the associated solutions to this type of martingale problem. Then localisation theorems for well-posed martingale problems or for corresponding generators are proved.

Keywords: Martingale problem; Feller processes; Weak convergence of probability measures; Skorokhod topology; Generators; Localisation (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spa.2020.11.003

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