Martingale problems for some degenerate Kolmogorov equations

Stephane Menozzi (1)

1 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry

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

Keywords: Probleme de martingale; EDS degeneree

Domains: Probability [math.PR]

Stephane Menozzi. Martingale problems for some degenerate Kolmogorov equations. Stochastic Processes and their Applications, 2018, 128 (3), pp.756-802. ⟨hal-00969037v3⟩