A semigroup approach to nonlinear Lévy processes

DOI10.1016/j.spa.2019.05.009zbMath1457.60075arXiv1710.08130OpenAlexW2962851780MaRDI QIDQ2301490

Robert Denk, Michael Kupper, Max Nendel

Publication date: 24 February 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.08130

zbMATH Keywords

Lévy processfully nonlinear PDENisio semigroupconvex expectation spaceMarkovian convolution semigroup

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Semigroups of nonlinear operators (47H20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items

Viscous Hamilton-Jacobi equations in exponential Orlicz hearts ⋮ Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators ⋮ Markov chains under nonlinear expectation ⋮ Convex monotone semigroups on lattices of continuous functions ⋮ Nonlinear semigroups built on generating families and their Lipschitz sets ⋮ Non-linear affine processes with jumps ⋮ Nonlinear continuous semimartingales ⋮ Wasserstein perturbations of Markovian transition semigroups ⋮ Maximal inequalities and some applications ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation ⋮ On infinitesimal generators of sublinear Markov semigroups ⋮ On nonlinear expectations and Markov chains under model uncertainty ⋮ Convex semigroups on \(L^p\)-like spaces ⋮ Limits of random walks with distributionally robust transition probabilities ⋮ Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes ⋮ Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems

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