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Cylindrical Martingale Problems Associated with Lévy Generators

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A Correction to this article was published on 03 June 2020

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Abstract

We introduce and discuss Lévy-type cylindrical martingale problems on separable reflexive Banach spaces. Our main observations are the following: Cylindrical martingale problems have a one-to-one relation to weak solutions of stochastic partial differential equations, and well-posed problems possess the strong Markov property and a Cameron–Martin–Girsanov-type formula holds. As applications, we derive existence and uniqueness results.

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  • 03 June 2020

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Acknowledgements

The author thanks the referee for his/her time and effort devoted to the evaluation of the manuscript and for his/her very useful remarks.

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  1. Center for Mathematics, Technical University of Munich, Munich, Germany

    David Criens

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  1. David Criens
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Criens, D. Cylindrical Martingale Problems Associated with Lévy Generators. J Theor Probab 32, 1306–1359 (2019). https://doi.org/10.1007/s10959-018-0814-4

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  • DOI: https://doi.org/10.1007/s10959-018-0814-4

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