A class of multidimensional nonlinear diffusions with the Feller property
Abstract: In this note we consider a family of nonlinear (conditional) expectations that can be understood as a multidimensional diffusion with uncertain drift and certain volatility. Here, the drift is prescribed by a set-valued function that depends on time and path in a Markovian way. We establish the Feller property for the associated sublinear Markovian semigroup and we observe a smoothing effect as our framework carries enough randomness. Furthermore, we link the corresponding value function to a semilinear Kolmogorov equation
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Statistics & probability letters. - 208 (2024) , 110057, ISSN: 0167-7152
- Event
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Veröffentlichung
- (where)
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Freiburg
- (who)
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Universität
- (when)
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2024
- Creator
- DOI
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10.1016/j.spl.2024.110057
- URN
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urn:nbn:de:bsz:25-freidok-2459006
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:56 PM CET
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Associated
Time of origin
- 2024
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