Stochastik AG

Andrej Depperschmidt und Andreas Greven

Titel: Duality and the well-posedness of a martingale problem

Abstract:
A typical strategy for proving well-posedness of martingale problems often consists of two steps. First, for existence a tight sequence of approximating processes is used whose limits solve the martingale problem. Then, duality is used to prove uniqueness. In this talk we discuss how duality can be used also for existence of solutions of martingale problems.