Duality and the well-posedness of a martingale problem

For two Polish state spaces E<sub>X</sub> and E<sub>Y</sub>, and an operator G<sub>X</sub>, we obtain existence and uniqueness of a G<sub>X</sub>-martingale problem provided there is a bounded continuous duality function H on E<sub>X</sub>×E<sub>Y</sub> together with a dual process Y on E<sub>Y</sub> which is the unique solution of a G<sub>Y</sub>-martingale problem. For the corresponding solutions [Formula: see text] and [Formula: see text] , duality with respect to a function H in its simplest form means that the relation E<sub>x</sub>[H(X<sub>t</sub>,y)]=E<sub>y</sub>[H(x,Y<sub>t</sub>)] holds for all (x,y)∈E<sub>X</sub>×E<sub>Y</sub> and t≥0. While duality is well-known to imply uniqueness of the G<sub>X</sub>-martingale problem, we give here a set of conditions under which duality also implies existence without using approximating sequences of processes of a different kind (e.g. jump processes to approximate diffusions) which is a widespread strategy for proving existence of solutions of martingale problems. Given the process [Formula: see text] and a duality function H, to prove existence of [Formula: see text] one has to show that the r.h.s. of the duality relation defines for each y a measure on E<sub>X</sub>, i.e. there are transition kernels [Formula: see text] from E<sub>X</sub> to E<sub>X</sub> such that E<sub>y</sub>[H(x,Y<sub>t</sub>)]=∫μ<sub>t</sub>(x,dx<sup>'</sup>)H(x<sup>'</sup>,y) for all (x,y)∈E<sub>X</sub>×E<sub>Y</sub> and all t≥0. As examples, we treat resampling and branching models, such as the Fleming-Viot measure-valued diffusion and its spatial counterparts (with both, discrete and continuum space), as well as branching systems, such as Feller's branching diffusion. While our main result as well as all examples come with (locally) compact state spaces, we discuss the strategy to lift our results to genealogy-valued processes or historical processes, leading to non-compact (discrete and continuum) state spaces. Such applications will be tackled in forthcoming work based on the present article.

Authors

Institutions

Publication Details

Journal
Theoretical Population Biology
Published
2024-08-22
DOI
https://doi.org/10.1016/j.tpb.2024.07.003
Citations
3
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
1.08
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Duality and the well-posedness of a martingale problem

Andreas Greven, Andrej Depperschmidt, Peter Pfaffelhuber
3 citations
Theoretical Population Biology
Stochastic processes and financial applications
1.08
article

Duality and the well-posedness of a martingale problem

Andreas Greven, Andrej Depperschmidt, Peter Pfaffelhuber
article en
3 citations

Abstract

For two Polish state spaces E<sub>X</sub> and E<sub>Y</sub>, and an operator G<sub>X</sub>, we obtain existence and uniqueness of a G<sub>X</sub>-martingale problem provided there is a bounded continuous duality function H on E<sub>X</sub>×E<sub>Y</sub> together with a dual process Y on E<sub>Y</sub> which is the unique solution of a G<sub>Y</sub>-martingale problem. For the corresponding solutions [Formula: see text] and [Formula: see text] , duality with respect to a function H in its simplest form means that the relation E<sub>x</sub>[H(X<sub>t</sub>,y)]=E<sub>y</sub>[H(x,Y<sub>t</sub>)] holds for all (x,y)∈E<sub>X</sub>×E<sub>Y</sub> and t≥0. While duality is well-known to imply uniqueness of the G<sub>X</sub>-martingale problem, we give here a set of conditions under which duality also implies existence without using approximating sequences of processes of a different kind (e.g. jump processes to approximate diffusions) which is a widespread strategy for proving existence of solutions of martingale problems. Given the process [Formula: see text] and a duality function H, to prove existence of [Formula: see text] one has to show that the r.h.s. of the duality relation defines for each y a measure on E<sub>X</sub>, i.e. there are transition kernels [Formula: see text] from E<sub>X</sub> to E<sub>X</sub> such that E<sub>y</sub>[H(x,Y<sub>t</sub>)]=∫μ<sub>t</sub>(x,dx<sup>'</sup>)H(x<sup>'</sup>,y) for all (x,y)∈E<sub>X</sub>×E<sub>Y</sub> and all t≥0. As examples, we treat resampling and branching models, such as the Fleming-Viot measure-valued diffusion and its spatial counterparts (with both, discrete and continuum space), as well as branching systems, such as Feller's branching diffusion. While our main result as well as all examples come with (locally) compact state spaces, we discuss the strategy to lift our results to genealogy-valued processes or historical processes, leading to non-compact (discrete and continuum) state spaces. Such applications will be tackled in forthcoming work based on the present article.

Theoretical Population BiologyVol. 159
Universität Hamburg (DE), University of Freiburg (DE), Friedrich-Alexander-Universität Erlangen-Nürnberg (DE), Universitätsklinikum Erlangen (DE)
Openalex Percentile: Top 26%
Stochastic processes and financial applications
1.08
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.