Well-posedness of the martingale problem for non-local perturbations of L\'evy-type generators

TL;DR

This paper establishes the well-posedness of the martingale problem for a class of non-local operators that are perturbations of Lévy-type generators, under certain integrability conditions on the Lévy measure.

Contribution

It proves the well-posedness of the martingale problem for operators combining Lévy-type generators with time-dependent non-local perturbations, extending previous results to more general measures.

Findings

Martingale problem is well-posed under specified conditions.

Conditions involve bounds on the Lévy measure with respect to a parameter β.

Results apply to non-local operators with non-degenerate α-stable Lévy measures.

Abstract

Let $L$ be a L\'evy-type generator whose L\'evy measure is controlled from below by that of a non-degenerate $\alpha$-stable ($0<\alpha<2$) process. In this paper, we study the martingale problem for the operator $\mathcal{L}_{t}=L+K_{t}$, with $K_{t}$ being a time-dependent non-local operator defined by \[ K_{t}f(x):=\int_{\mathbb{R}^{d}\backslash\{0\}}[f(x+y)-f(x)-\mathbf{1}_{\alpha>1}\mathbf{1}_{\{|y|\le1\}}y\cdot\nabla f(x)]M(t,x,dy), \] where $M(t,x,\cdot)$ is a L\'evy measure on $\mathbb{R}^{d}\backslash\{0\}$ for each $(t,x)\in \mathbb{R}_+ \times \mathbb{R}^{d}$. We show that if \[ \sup_{t\geq0,x\in\mathbb{R}^{d}}\int_{\mathbb{R}^{d}\backslash\{0\}}1\wedge|y|^{\beta}M(t,x,dy)<\infty \] for some $0<\beta<\alpha$, then the martingale problem for $\mathcal{L}_{t}$ is well-posed.