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ON INFINITESIMAL GENERATORS OF SUBLINEAR MARKOV SEMIGROUPS

Kühn, Franziska 大阪大学 DOI:10.18910/83196

2021.07

概要

We establish a Dynkin formula and a Courre`ge-von Waldenfels theorem for sublinear Markov semigroups. In particular, we show that any sublinear operator A on C∞(Rd) satisfying the positive maximum principle can be represented as supremum of a family of pseudo-differential

operators:
Af (x) = sup(−qα(x, D) f )(x).
     α∈I

As an immediate consequence, we obtain a representation formula for infinitesimal genera-tors of sublinear Markov semigroups with a sufficiently rich domain. We give applications in the theory of non-linear Hamilton–Jacobi–Bellman equations and Le´vy processes for sublinear expectations.

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