论文标题
一类多维非线性扩散与伐木属性
A class of multidimensional nonlinear diffusions with the Feller property
论文作者
论文摘要
在本说明中，我们考虑了一个非线性（条件）期望的家族，可以将其理解为多维扩散，不确定漂移和某些波动性。在这里，漂移是由以马尔可夫方式取决于时间和路径的设置值函数规定的。我们为相关的sublinear马尔可夫半群建立了伐木属性，并且随着框架具有足够的随机性，我们会观察到平滑效果。此外，我们将相应的值函数链接到半连接的kolmogorov方程。
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.
