Ramifications of generalized Feller theory

TL;DR

This paper explores generalized Feller theory, extending its applications to complex stochastic processes and differential equations.

Contribution

The paper introduces extended Feller processes and provides detailed proofs and comparisons with classical and generalized Feller processes.

Findings

Extended Feller processes are introduced and compared with classical and generalized Feller processes.

A key example shows how generalized Feller semigroups relate to transport equations and semiflows on weighted spaces.

A counterexample demonstrates the necessity of each condition in the definition of generalized Feller semigroups.

Abstract

Generalized Feller theory provides an important analog to Feller theory beyond locally compact metric state spaces. This is very useful for solutions of certain stochastic partial differential equations, Markovian lifts of fractional processes, or infinite-dimensional affine and polynomial processes which appear prominently in the theory of signature stochastic differential equations. We extend several folklore results related to generalized Feller processes, in particular on their construction and path properties, and provide the often quite sophisticated proofs in full detail. We also introduce the new concept of extended Feller processes and compare them with classical and generalized ones as well as with Doob’s h-transform. A key example relates generalized Feller semigroups of algebra homomorphisms via the method of characteristics to transport equations and continuous semiflows on weighted spaces, i.e., a remarkably generic way to treat differential equations on weighted spaces. We also provide a counterexample, which shows that no condition of the basic definition of generalized Feller semigroups can be dropped.