
arXiv: 1309.6414
Suppose that $d\geq1$ and $α\in (1, 2)$. Let $Y$ be a rotationally symmetric $α$-stable process on $\R^d$ and $b$ a $\R^d$-valued measurable function on $\R^d$ belonging to a certain Kato class of $Y$. We show that $\rd X^b_t=\rd Y_t+b(X^b_t)\rd t$ with $X^b_0=x$ has a unique weak solution for every $x\in \R^d$. Let $\sL^b=-(-Δ)^{α/2} + b \cdot \nabla$, which is the infinitesimal generator of $X^b$. Denote by $C^\infty_c(\R^d)$ the space of smooth functions on $\R^d$ with compact support. We further show that the martingale problem for $(\sL^b, C^\infty_c(\R^d))$ has a unique solution for each initial value $x\in \R^d$.
Primary 60H10, 47G20, Secondary 60G52, generator, Probability (math.PR), weak solution, Martingales with continuous parameter, stochastic differential equation, Stochastic ordinary differential equations (aspects of stochastic analysis), Stable stochastic processes, FOS: Mathematics, Kato class, Integro-differential operators, rotationally symmetric \(\alpha\)-stable process, Mathematics - Probability, martingale problem
Primary 60H10, 47G20, Secondary 60G52, generator, Probability (math.PR), weak solution, Martingales with continuous parameter, stochastic differential equation, Stochastic ordinary differential equations (aspects of stochastic analysis), Stable stochastic processes, FOS: Mathematics, Kato class, Integro-differential operators, rotationally symmetric \(\alpha\)-stable process, Mathematics - Probability, martingale problem
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